Phase transition for extremes of a family of stationary multiple-stable processes

TL;DR

This paper studies the extreme value behavior of a family of stationary multiple-stable processes, revealing a phase transition between long-range and short-range dependence depending on process parameters, with new limit objects identified.

Contribution

It characterizes the macroscopic limit of extremes for these processes across all parameter regimes, identifying a phase transition and introducing new types of random sup-measures.

Findings

Long-range dependence in extremes when eta_petween 0 and 1.

Short-range dependence with independently scattered limits when eta_p<0.

A phase transition at the critical point eta_p=0.

Abstract

We investigate a family of multiple-stable processes that may exhibit either long-range or short-range dependence, depending on the parameters. There are two parameters for the processes, the memory parameter $\beta\in(0,1)$ and the multiplicity parameter $p\in\mathbb N$. We investigate the macroscopic limit of extremes of the process, in terms of convergence of random sup-measures, for the full range of parameters. Our results show that (i) the extremes of the process exhibit long-range dependence when $\beta_p := p\beta-p+1\in(0,1)$, with a new family of random sup-measures arising in the limit, (ii) the extremes are of short-range dependence when $\beta_p<0$, with independently scattered random sup-measures arising in the limit, and (iii) there is a delicate phase transition at the critical regime $\beta_p = 0$.