On the hitting probability of max-stable processes

The probability that a max-stable process η in C[0,1] with identical marginal distribution function F hits x∈R with 0<F(x)<1 is the hitting probability of x. We show that the hitting probability is always positive, unless the components of η are completely dependent. Moreover, we consider the event that the paths of standard MSP hit some x∈R twice and give a sufficient condition for a positive probability of this event.

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Year of publication:	2013
Authors:	Hofmann, Martin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 11, p. 2516-2521
Publisher:	Elsevier
Subject:	Max-stable process \| Hitting probability \| Functional D-norm \| Total dependence process \| Probability of hitting more than once

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040122