Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes
By Stilian A. Stoev, Murad S. Taqqu. 2005
93 citations recorded by the source corpus.
Subfields: Finance, Global and Planetary Change
View Paper: https://www.semanticscholar.org/paper/08c4ae1b70abd848a98e9100bd1dd8e9a23bda0d
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In Finance
- Zakhar Kabluchko
- Yizao Wang
- Stilian A. Stoev
- Sebastian Engelke
- A. C. Davison
- Mathieu Ribatet
- Peiman Asadi
- Martin Schlather
In Global and Planetary Change
Citations in the corpus
- Spectral representations of sum- and max-stable processes (2009, background): “Now we reprove the following result of de Haan and Pickands (1986) (see also Stoev and Taqqu (2005) for the slightly more general version given below).”
- On the structure and representations of max-stable processes (2009, methodology): “2 of [34], to establish (ii), we should show that any measurable α-Fréchet process X satisfies Condition S.”
- On the ergodicity and mixing of max-stable processes (2008, methodology): “X = fXtgt2R is a strictly stationary fiiFr· echet process called mixed moving maxima (see Stoev and Taqqu (2005) ).”