Generalized Pickands constants and stationary max-stable processes

By Krzysztof Debicki, Sebastian Engelke, Enkelejd Hashorva. 2016

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Pickands constants play a crucial role in the asymptotic theory of Gaussian processes. They are commonly defined as the limits of a sequence of expectations involving fractional Brownian motions and, as such, their exact value is often unknown. Recently, Dieker and Yakir (Bernoulli, 20(3), 1600–1619, 2014) derived a novel representation of Pickands constant as a simple expected value that does not involve a limit operation. In this paper we show that the notion of Pickands constants and their corresponding Dieker–Yakir representations can be extended to a large class of stochastic processes, including general Gaussian and Lévy processes. We furthermore develop a link to extreme value theory and show that Pickands-type constants coincide with certain constants arising in the study of max-stable processes with mixed moving maxima representations.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/71b0881efc1bfaa865426c0e434eca9cb196d307