Stationary max-stable processes with the Markov property

We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order $1$. A similar statement is also proved for continuous time processes.

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Source https://hal.science/hal-00787461
Author Dombry, Clément, Eyi-Minko, Frédéric
Maintainer CCSD
Last Updated May 8, 2026, 06:41 (UTC)
Created May 8, 2026, 06:41 (UTC)
Identifier hal-00787461
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire de mathématiques et applications [UMR 7348] (LMA [Poitiers]) ; Université de Poitiers = University of Poitiers (UP)-Centre National de la Recherche Scientifique (CNRS)
creator Dombry, Clément
date 2013-02-12T00:00:00
harvest_object_id b6533a6c-173e-43f2-8dc7-3853263ce2af
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-03-07T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1302.3041
set_spec type:UNDEFINED