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arXiv · 1302.3041

Stationary max-stable processes with the Markov property

Clément Dombry·Frédéric Eyi-Minko
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Abstract

We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order $1$. A similar statement is also proved for continuous time processes.

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Clément Dombry, Frédéric Eyi-Minko. 2013-02-13. Stationary max-stable processes with the Markov property. https://arxiv.org/abs/1302.3041

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