On the likelihood function of Gaussian max-stable processes
نویسندگان
چکیده
Max-stable processes (de Haan, 1984) have received sustained attention in recent years because of their relevance for studying extreme events in financial, environmental and climate sciences. In a seminal unpublished University of Surrey 1990 technical report, R. L. Smith defined Gaussian max-stable processes, where all margins follow a unit Fréchet distribution, in view of modelling spatial extremes. However, a closed form expression for the joint cumulative distribution function of the process Z was provided only for two spatial sites x1, x2 ∈R2,
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تاریخ انتشار 2011