We introduce some mathematical framework for extreme value theory in the space of continuous functions on compact intervals and provide basic definitions and tools. Continuous max-stable processes on [0,1] are characterized by their “distribution functions” G which can be represented via a norm on function space, called D-norm. The high conformity of this setup with the multivariate case leads to the introduction of a functional domain of attraction approach for stochastic processes, which is more general than the usual one based on weak convergence. We also introduce the concept of “sojourn time transformation” and compare several types of convergence on function space. Again in complete accordance with the uni- or multivariate case it is now possible to get functional generalized Pareto distributions (GPD) W via W = 1 + log(G) in the upper tail. In particular, this enables us to derive characterizations of the functional domain of attraction condition for copula processes. Moreover, we investigate the sojourn time above a high threshold of a continuous stochastic process. It turns out that the limit, as the threshold increases, of the expected sojourn time given that it is positive, exists if the copula process corresponding to Y is in the functional domain of attraction of a max-stable process. If the process is in a certain neighborhood of a generalized Pareto process, then we can replace the constant threshold by a general threshold function and we can compute the asymptotic sojourn time distribution. / Es wird ein Zugang zur Extremwerttheorie auf dem Raum C[0,1] gegeben. Nach Charakterisierung und Analyse standard max-stabiler Prozesse, wird ein "funktionaler Anziehungsbereich" für standard max-stabile Prozesse vorgeschlagen, der allgemeiner ist als der übliche, der mittels schwacher Konvergenz definiert wird. Schließlich werden Verweildauern stetiger Prozesse über hohen Schwellenwerten betrachtet.
| Identifer | oai:union.ndltd.org:uni-wuerzburg.de/oai:opus.bibliothek.uni-wuerzburg.de:6327 |
| Date | January 2012 |
| Creators | Hofmann, Martin |
| Source Sets | University of Würzburg |
| Language | English |
| Detected Language | English |
| Type | doctoralthesis, doc-type:doctoralThesis |
| Format | application/pdf |
| Rights | https://opus.bibliothek.uni-wuerzburg.de/doku/lic_ohne_pod.php, info:eu-repo/semantics/openAccess |
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