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An Extreme-Value Analysis of the LIL for Brownian Motion
The law of the iterated logarithm Brownian motion extreme values
2009/4/27
We use excursion theory and the ergodic theorem to present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. A simplified version of our method also p...
One common way to deal with extreme value analysis in spatial statistics is by using
the max-stable process. By employing a representation of simple max-stable processes
in de Haan and Ferreira ([3]...