Extremes of homogeneous Gaussian random fields

DOI10.1239/JAP/1429282606MaRDI QIDQ5252236zbMATH OpenOpenAlexWikidataFDO

Authors Krzysztof Dȩbicki, Natalia Soja-Kukieła, Enkelejd Hashorva

Publication date 29 May 2015

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.2863, https://projecteuclid.org/euclid.jap/1429282606

zbMATH Keywords

Berman conditionextremal indexGaussian random fieldsstrong dependencetail asymptotics

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Let $X(s,t):s,tgeqslant0$ be a centered homogeneous Gaussian field with a.s. continuous sample paths and correlation function $r(s,t)=Cov(X(s,t),X(0,0))$ such that [r(s,t)=1-|s|^{alpha_1}-|t|^{alpha_2}+o(|s|^{alpha_1}+|t|^{alpha_2}), quad s,t o 0,] with $alph{a}_1,alph{a}_{2}in(0,2],$ and $r(s,t)<1$ for $(s,t)eq(0,0)$. In this contribution we derive an exact asymptotic expansion (as $uoinfty$) of ${\displaystyle }$mathbb{P}left(sup_{(s n_1(u),t n_2(u))inleft[0,x ight] imesleft[0,y ight]}X(s,t)leqslant u ight),${\displaystyle }$ where $n_1(u)n_2(u)=u^{2/alph{a}_1+2/alph{a}_2}Psi(u)$, which holds uniformly for $(x,y)in[A,B{]}^2$ 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 asymptotics 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 $X(s,t)$.

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Cited in

(22)

• Extremes of Gaussian random fields with regularly varying dependence structure
• Extrema of rescaled locally stationary Gaussian fields on manifolds
• The joint distribution of running maximum of a Slepian process
• The limit theorems on extremes for Gaussian random fields
• On extremal index of max-stable random fields
• Extrema of a Gaussian random field: Berman's sojourn time method
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• Some limit results on supremum of Shepp statistics for fractional Brownian motion
• Approximation of maximum of Gaussian random fields
• On the maxima and sums of homogeneous Gaussian random fields
• Extremes of homogeneous two-parametric Gaussian fields at discretization of parameters
• Extremes of a class of nonhomogeneous Gaussian random fields
• Comparison inequalities for order statistics of Gaussian arrays
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• Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields
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• Uniform tail approximation of homogenous functionals of Gaussian fields
• Extremes of homogeneous Gaussian random fields
• Tail asymptotics for the extremes of bivariate Gaussian random fields
• Extremes of Shepp statistics for Gaussian random walk

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