solidot新版网站常见问题,请点击这里查看。
消息
本文已被查看3581次
Geometric ergodicity for some space-time max-stable Markov chains. (arXiv:1712.04883v1 [math.PR])
来源于:arXiv
Max-stable processes are very relevant for the modelling of spatial extremes.
In this paper, we focus on some processes belonging to the class of space-time
max-stable models introduced in Embrechts et al. (2016). The mentioned
processes are Markov chains with state space the space of continuous functions
from the unit sphere of $\mathbb{R}^3$ to $(0, \infty)$. We show that these
Markov chains are geometrically ergodic. An interesting feature lies in the
fact that the previously mentioned state space is not locally compact, making
the classical methodology to be found, e.g., in Meyn and Tweedie (2009),
inapplicable. Instead, we use the fact that the state space is Polish and apply
results on Markov chains with Polish state spaces presented in Hairer (2010). 查看全文>>