Summary
We consider the class of stationary stochastic processes whose margins are jointly min-stable. We show how the scalar elements can be generated by a single realization of a standard homogeneous Poisson process on the upper half-strip [0,1] x R+ and a group of L1 — isometries. We include a Dobrushin-like result for the realizations in continuous time.
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References
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de Haan, L. and Pickands III, J. (1983) Stationary Min-Stable Stochastic Processes. Technical Report, Erasmus University Rotterdam.
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© 1984 Springer Science+Business Media Dordrecht
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de Haan, L.F.M., Pickands, J. (1984). Stationary Min-Stable Stochastic Processes. In: de Oliveira, J.T. (eds) Statistical Extremes and Applications. NATO ASI Series, vol 131. Springer, Dordrecht. https://doi.org/10.1007/978-94-017-3069-3_35
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DOI: https://doi.org/10.1007/978-94-017-3069-3_35
Publisher Name: Springer, Dordrecht
Print ISBN: 978-90-481-8401-9
Online ISBN: 978-94-017-3069-3
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