%0 Journal Article
%T Time-changed extremal process as a random sup measure
%A C¨Śline Lacaux
%A Gennady Samorodnitsky
%J Mathematics
%D 2014
%I arXiv
%X A functional limit theorem for the partial maxima of a long memory stable sequence produces a limiting process that can be described as a $\beta$-power time change in the classical Fr\'echet extremal process, for $\beta$ in a subinterval of the unit interval. Any such power time change in the extremal process for $0<\beta<1$ produces a process with stationary max-increments. This deceptively simple time change hides the much more delicate structure of the resulting process as a self-affine random sup measure. We uncover this structure and show that in a certain range of the parameters this random measure arises as a limit of the partial maxima of the same long memory stable sequence, but in a different space. These results open a way to construct a whole new class of self-similar Fr\'echet processes with stationary max-increments.
%U http://arxiv.org/abs/1410.2491v1