Molchanov, Ilya; Strokorb, Kirstin (2016). Max-stable random sup-measures with comonotonic tail dependence. Stochastic processes and their applications, 126(9), pp. 2835-2859. Elsevier 10.1016/j.spa.2016.03.004
|
Text
1507.03476v2.pdf - Accepted Version Available under License Publisher holds Copyright. Download (347kB) | Preview |
|
![[img]](https://boris.unibe.ch/style/images/fileicons/text.png) |
Text
1-s2.0-S0304414916000600-main.pdf - Published Version Restricted to registered users only Available under License Publisher holds Copyright. Download (416kB) | Request a copy |
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connection s to the theory of random sets and the theory of risk measures and makes it possible to extend corresponding notions and results from the literature with streamlined pr
oofs. In particular, it clarifies the role of Choquet random sup-measures and their stochastic dominance property. Key tools are the LePage representation of a max-stable random sup-measure and the dual representation of its tail dependence functional. Properties such as complete randomness, continuity, separability, coupling, continuous choice, invariance and transformations are also analysed.
Item Type: |
Journal Article (Original Article) |
|---|---|
Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Molchanov, Ilya |
Subjects: |
500 Science > 510 Mathematics |
ISSN: |
0304-4149 |
Publisher: |
Elsevier |
Language: |
English |
Submitter: |
Ilya Molchanov |
Date Deposited: |
13 Feb 2017 14:27 |
Last Modified: |
05 Dec 2022 15:00 |
Publisher DOI: |
10.1016/j.spa.2016.03.004 |
ArXiv ID: |
1507.03476v2 |
BORIS DOI: |
10.7892/boris.91130 |
URI: |
https://boris.unibe.ch/id/eprint/91130 |
Actions (login required)
 |
Edit item |