Extremes of (t)-locally stationary Gaussian random fields

DOI10.1090/TRAN/6769MaRDI QIDQ3448979zbMATH OpenOpenAlexFDO

Authors Lanpeng Ji, Enkelejd Hashorva

Publication date 3 November 2015

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.0256

zbMATH Keywords

\(\alpha(\mathbf{t})\)-locally stationary random fields\(\chi\)-processesfractional Brownian motionGaussian random fieldsmetric entropymultifractional Brownian motionPickands constantweak convergence

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: This contribution derives the exact asymptotic behaviour of the supremum of alpha(t)-locally stationary Gaussian random fields over a finite hypercube. We present two applications of our result; the first one deals with extremes of ggregate multifractional Brownian motions, whereas the second application establishes the exact asymptotics of the supremum of chi-processes generated by multifractional Brownian motions.

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Cited in

(12)

• Extremes of threshold-dependent Gaussian processes
• Extremes of q-Ornstein-Uhlenbeck processes
• Extremes of randomly scaled Gumbel risks
• Extremes of Gaussian random fields with regularly varying dependence structure
• Extrema of rescaled locally stationary Gaussian fields on manifolds
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• Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids
• Extremes of locally-homogenous vector-valued Gaussian processes
• Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes

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