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arxiv: 1601.00792 · v2 · pith:AGD7EFGUnew · submitted 2016-01-05 · 🧮 math.PR · math.DS

Ergodic decompositions of stationary max-stable processes in terms of their spectral functions

classification 🧮 math.PR math.DS
keywords spectralprocessesfunctionmax-stableconvergesdecompositionsdissipativerepresentation
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We revisit conservative/dissipative and positive/null decompositions of stationary max-stable processes. Originally, both decompositions were defined in an abstract way based on the underlying non-singular flow representation. We provide simple criteria which allow to tell whether a given spectral function belongs to the conservative/dissipative or positive/null part of the de Haan spectral representation. Specifically, we prove that a spectral function is null-recurrent iff it converges to $0$ in the Ces\`{a}ro sense. For processes with locally bounded sample paths we show that a spectral function is dissipative iff it converges to $0$. Surprisingly, for such processes a spectral function is integrable a.s. iff it converges to $0$ a.s. Based on these results, we provide new criteria for ergodicity, mixing, and existence of a mixed moving maximum representation of a stationary max-stable process in terms of its spectral functions. In particular, we study a decomposition of max-stable processes which characterizes the mixing property.

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