Probability distributions of extremes of self-similar Gaussian random fields

DOI10.7153/JCA-05-03MaRDI QIDQ3120730zbMATH OpenOpenAlexFDO

Authors Vitalii Makogin, Yu. V. Kozachenko

Publication date 5 March 2019

Published in Journal of Classical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.0134

zbMATH Keywords

distribution of extremesfinite dimensional distributionsfractional Brownian sheetself-similar random field

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15)

Abstract: We have obtained some upper bounds for the probability distribution of extremes of a self-similar Gaussian random field with stationary rectangular increments that are defined on the compact spaces. The probability distributions of extremes for the normalized self-similar Gaussian random fields with stationary rectangular increments defined in ${mathbbR}_{+}^2$ have been presented. In our work we have used the techniques developed for the self-similar fields and based on the classical series analysis of the maximal probability bounding from below for the Gaussian fields.

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Cited in

(6)

• Extremes of Gaussian random fields with regularly varying dependence structure
• The self-intersections of a Gaussian random field
• Extreme value statistics of 2D Gaussian free field: effect of finite domains
• The distributions of local extrema of Gaussian noise and of its envelope
• STUDY OF SOME NONLINEAR SELF-SIMILAR DISTRIBUTIONS
• Extremes of Shepp statistics for Gaussian random walk

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