Year: 2006
Type: article
Abstract: Free probability analogs of the basics of extreme-value theory are obtained, based on Ando’s spectral order. This includes classification of freely max-stable laws and their domains of attraction, using “free extremal convolutions” on the distributions. These laws coincide with the limit laws in the classical peaks-over-threshold approach. A free extremal projection-valued process over a measure-space is constructed, which is related to the free Poisson point process.
Source: The Annals of Probability
Authors: Gerard Ben Arous, Dan Virgil Voiculescu
Institutions: New York University, University of California, Berkeley
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
Funder: National Science Foundation
OpenAlex ID: W2112427796