Extremes of alpha-t locally stationary Gaussian random fields
Details
Serval ID
serval:BIB_CF9BA00905C4
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremes of alpha-t locally stationary Gaussian random fields
Journal
Transactions of the American Mathematical Society
ISSN
0002-9947 (Print)
1088-6850 (Electronic)
1088-6850 (Electronic)
Publication state
Published
Issued date
01/2016
Peer-reviewed
Oui
Volume
368
Number
1
Pages
1-26
Language
english
Abstract
The main result of this contribution is the derivation of the exact asymptotic behavior of the supremum of a class of alpha(t)-locally stationary Gaussian random fields. We present two applications of our result: the first one deals with the extremes of aggregate multifractional Brownian motions, whereas the second one establishes the exact asymptotics of the supremum of the x-process generated by multifractional Brownian motions.
Keywords
alpha(t)-locally stationary random fields, fractional Brownian motion, multifractional Brownian motion, chi-processes, Gaussian random fields, metric entropy, weak convergence, Pickands constant
Web of science
Create date
04/02/2016 10:16
Last modification date
20/08/2019 15:50
Usage data
