1. Ergodic decompositions of stationary max-stable processes in terms of their spectral functions
- Author
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Zakhar Kabluchko, Clément Dombry, Laboratoire de Mathématiques de Besançon (UMR 6623) (LMB), Université de Bourgogne (UB)-Université de Franche-Comté (UFC), Université Bourgogne Franche-Comté [COMUE] (UBFC)-Université Bourgogne Franche-Comté [COMUE] (UBFC)-Centre National de la Recherche Scientifique (CNRS), Institut für Mathematische Stochastik, and Georg-August-University [Göttingen]
- Subjects
Statistics and Probability ,de Haan representation ,Pure mathematics ,Mixed moving maximum process ,01 natural sciences ,010104 statistics & probability ,Mixing (mathematics) ,Positive/null decomposition ,Ergodic theory ,Mathematics - Dynamical Systems ,0101 mathematics ,Mixing process ,Conservative/dissipative decomposition ,Ergodic process ,Max-stable random process ,Mathematics ,Applied Mathematics ,010102 general mathematics ,Ergodicity ,Null (mathematics) ,16. Peace & justice ,[MATH.MATH-PR]Mathematics [math]/Probability [math.PR] ,Flow (mathematics) ,Non-singular flow ,Modeling and Simulation ,Bounded function ,60G70 (Primary), 60G52, 60G60, 60G55, 60G10, 37A10, 37A25 (Secondary) ,Dissipative system ,Mathematics - Probability - Abstract
We revisit conservative/dissipative and positive/null decompositions of stationary max-stable processes. Originally, both decompositions were defined in an abstract way based on the underlying non-singular flow representation. We provide simple criteria which allow to tell whether a given spectral function belongs to the conservative/dissipative or positive/null part of the de Haan spectral representation. Specifically, we prove that a spectral function is null-recurrent iff it converges to $0$ in the Ces\`{a}ro sense. For processes with locally bounded sample paths we show that a spectral function is dissipative iff it converges to $0$. Surprisingly, for such processes a spectral function is integrable a.s. iff it converges to $0$ a.s. Based on these results, we provide new criteria for ergodicity, mixing, and existence of a mixed moving maximum representation of a stationary max-stable process in terms of its spectral functions. In particular, we study a decomposition of max-stable processes which characterizes the mixing property., Comment: 21 pages, no figures
- Published
- 2017
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