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Crossings of max-stable processes

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Richard A. Davis  and
Sidney I. Resnick
Richard A. Davis*
Affiliation:
Colorado State University
Sidney I. Resnick*
Affiliation:
Cornell University
*
∗ Postal address: Department of Statistics, Colorado State University, Fort Collins, CO 80523, USA.
∗∗ Postal address: School of Operations Research and Industrial Engineering, Cornell University, ETC Building, Ithaca, NY 14853, USA.
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Abstract

The expected number of upcrossings for a max-stable process is computed and compared with known results for stable processes. Asymptotically the formulas are of the same order.

Keywords

EXTREME VALUE THEORYPOISSON PROCESSESSTATIONARY PROCESSESLEVEL CROSSINGSSTABLE PROCESSES

MSC classification

Primary: 60G17: Sample path properties
Secondary: 60G10: Stationary processes
Type
Research Papers
Information
Journal of Applied Probability , Volume 31 , Issue 1 , March 1994 , pp. 130 - 138
Copyright
Copyright © Applied Probability Trust 1994 

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Footnotes

Research partially supported by NSF Grant DMS-9100392 at Colorado State University.

Research partially supported by NSF Grant DMS–9100027 at Cornell University.

References

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