Title of article
Stationary max-stable processes with the Markov property
Author/Authors
Dombry، نويسنده , , Clément and Eyi-Minko، نويسنده , , Frédéric، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
14
From page
2266
To page
2279
Abstract
We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order 1. A similar statement is also proved for continuous time processes.
Keywords
Max-stable process , Max-autoregressive process , Markov property
Journal title
Stochastic Processes and their Applications
Serial Year
2014
Journal title
Stochastic Processes and their Applications
Record number
1579336
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