The Poisson storm process Extremal coefficients and simulation
38 Pages
English
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The Poisson storm process Extremal coefficients and simulation

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Learn more
38 Pages
English

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The Poisson storm process Extremal coefficients and simulation C. Lantuejoul1, J.N. Bacro2 and L. Bel3 1MinesParisTech 2Universite de Montpellier II 3AgroParisTech 1

  • basic ingredients

  • poisson point

  • process

  • gaussian storm

  • exist between extremal

  • storm process


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ThePoissonstormprocessExtremalcoefficientsandsimulationC.Lantue´joul1,J.N.Bacro2andL.Bel31MinesParisTech2Universite´deMontpellierII3AgroParisTech1
StormprocessIntroducedbySmith(1990)andgeneralizedbySchlather(2002),thestormprocessisaprototypeofmax-stableprocesseswithunitFre´chetmargins:´³αF(z)=expz>0zBasicingredients:ΠhomogenousPoissonpointprocess(intensityµ)inIRd×IR+;¡¢Yx,t,xIRd,tIR+independentcopiesofarandomfunctionY,definedinIRd,positiveandintegrable.Definition:Z(s)=supYx,t(sx)(x,t)ΠtdRIs2
GaussianmrotsprocessesY(s)=epxµtasxi|s|22σdifferentscales3