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arxiv: 1207.0625 · v1 · pith:R7UAWERInew · submitted 2012-07-03 · 🧮 math.PR · math.ST· stat.TH

A characterization of D-norms and their generators based on the family of spectral functions

classification 🧮 math.PR math.STstat.TH
keywords functionalprocessd-normgeneratord-normsdistributiongivensome
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Aulbach et al. (2012) introduced the concept of D-norms in the framework of functional extreme value theory (EVT) extending the multivariate case in a natural manner. In particular, the distribution of a standard max-stable process (MSP) {\eta} \in C[0,1] is completely determined by its functional distribution function, which itself is given by some D-norm. In order to generate a generalized Pareto process (GPP) that is in the functional domain of attraction of {\eta}, one may use the fact that every D-norm is defined by some generator process with continuous sample paths. It is, however, still unknown which generator must be chosen such that a given D-norm arises. This is the content of the present paper. We will, moreover, show that a generator process may be decomposed into a functional deterministic part and a univariate random one.

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