Extremes of homogeneous Gaussian random fields

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Serval ID
serval:BIB_AB69033FCE83
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremes of homogeneous Gaussian random fields
Journal
Journal of Applied Probability
Author(s)
Debicki  K., Hashorva  E., Soja-Kukieła  N.
ISSN
0021-9002
Publication state
Published
Issued date
03/2015
Peer-reviewed
Oui
Volume
52
Number
1
Pages
55-67
Language
english
Abstract
Let {X (s, t): s, t >= 0} be a centred homogeneous Gaussian field with almost surely continuous sample paths and correlation function r (s, t) = cov(X(s, t), X(0, 0)) such that r(s, t) = 1 - vertical bar s vertical bar(alpha 1) - vertical bar t vertical bar(alpha 2) + o(vertical bar s vertical bar(alpha 1) + vertical bar t vertical bar(alpha 2)), s,t -> 0, with alpha 1, alpha 2 is an element of(0,2], and r (s, t) < 1 for (s, t) not equal (0, 0). In this contribution we derive an asymptotic expansion (as u -> infinity) of P(sup((sn1(u),tn2(u))is an element of[0,x]x[0,y]) X(s,t) <= u), where n(1)(u)n(2)(u) = u(2/alpha 1+2/alpha 2) Psi(u), which holds uniformly for (x, y) is an element of [A, B](2) with A, B two positive constants and Psi the survival function of an N(0, 1) random variable. We apply our findings to the analysis of extremes of homogeneous Gaussian fields over more complex parameter sets and a ball of random radius. Additionally, we determine the extremal index of the discretised random field determined by X (s, t).
Keywords
Gaussian random field, supremum, tail asymptoticy, external index, Berman condition, strong dependence
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06/02/2014 14:53
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