7 papers
On generalized max-linear models and their statistical interpolation
Michael Falk, Martin Hofmann, Maximilian Zott
We propose a way how to generate a max-stable process in from a max-stable random vector in by generalizing the \emph{max-linear model} established by \citet…
Max-stable processes and the functional D-norm revisited
Stefan Aulbach, Michael Falk, Martin Hofmann +1
Aulbach et al. (2013) introduced a max-domain of attraction approach for extreme value theory in C[0,1] based on functional distribution functions, which is more general than the a…
On the Reflection Type Decomposition of the Adjoint Reduced Phase Space of a Compact Semisimple Lie group
Martin Hofmann, Gerd Rudolph, Matthias Schmidt
We consider a system with symmetries whose configuration space is a compact Lie group, acted upon by inner automorphisms. The classical reduced phase space of this system decompose…
On the Hitting Probability of Max-Stable Processes
Martin Hofmann
The probability that a max-stable process η in C[0, 1] with identical marginal distribution function F hits x \in R with 0 < F (x) < 1 is the hitting probability of x. We show that…
The multivariate Piecing-Together approach revisited
Stefan Aulbach, Michael Falk, Martin Hofmann
The univariate Piecing-Together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. A m…
Sojourn Times and the Fragility Index
Michael Falk, Martin Hofmann
We investigate the sojourn time above a high threshold of a continuous stochastic process Y on [0,1]. It turns out that the limit, as the threshold increases, of the expected sojou…