On generalized max-linear models and their statistical interpolation

Michael Falk, Martin Hofmann, Maximilian Zott

Published 2013-03-11, updated 2014-06-05Version 2

We propose a way how to generate a max-stable process in $C[0,1]$ from a max-stable random vector in $\mathbb R^d$ by generalizing the \emph{max-linear model} established by \citet{wansto11}. It turns out that if the random vector follows some finite dimensional distribution of some initial max-stable process, the approximating processes converge uniformly to the original process and the pointwise mean squared error can be represented in a closed form. The obtained results carry over to the case of generalized Pareto processes. The introduced method enables the reconstruction of the initial process only from a finite set of observation points and, thus, reasonable prediction of max-stable processes in space becomes possible. A possible extension to arbitrary dimension is outlined.