A family of random sup-measures with long-range dependence - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

A family of random sup-measures with long-range dependence

Olivier Durieu

Résumé

A family of self-similar and translation-invariant random sup-measures with long-range dependence are investigated. They are shown to arise as the limit of the empirical random sup-measure of a stationary heavy-tailed process, inspired by an infinite urn scheme, where same values are repeated at several random locations. The random sup-measure reflects the long-range dependence nature of the original process, and in particular characterizes how locations of extremes appear as long-range clusters represented by random closed sets. A limit theorem for the corresponding point-process convergence is established.
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Dates et versions

hal-01771965 , version 1 (20-04-2018)
hal-01771965 , version 2 (12-10-2018)

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Olivier Durieu, Yizao Wang. A family of random sup-measures with long-range dependence. 2018. ⟨hal-01771965v1⟩

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