Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence

DOI10.1080/17442508.2021.1914620zbMATH Open1496.60053arXiv2008.00761OpenAlexW3158452076WikidataQ113848401 ScholiaQ113848401MaRDI QIDQ5086899FDOQ5086899

Authors: Vitalii Makogin, Evgeny Spodarev 

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: This paper considers the asymptotic behaviour of volumes of excursion sets of subordinated Gaussian random fields with (possibly) infinite variance. Actually, we consider integral functionals of such fields and obtain their limiting distribution using the Hermite expansion of the integrand. We consider the general non-stationary Gaussian random fields, including stationary and anisotropic special cases. The limiting random variables in our limit theorems have the form of multiple Wiener-It^{o} integrals. We illustrate most results with corresponding examples.

Full work available at URL: https://arxiv.org/abs/2008.00761

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zbMATH Keywords

Gaussian random fieldlong memoryHermite polynomialnon-Gaussian limitnon-stationary covariance functionWiener-Itô integral

Mathematics Subject Classification ID

Random fields (60G60) Geometric probability and stochastic geometry (60D05) Stationary stochastic processes (60G10) Stochastic integrals (60H05)

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Cited In (7)

• On some distributional properties of subordinated Gaussian random fields
• Limit theorems for excursion sets of stationary random fields
• Sojourn functionals for spatiotemporal Gaussian random fields with long memory
• Non-central limit theorems for random fields subordinated to gamma-correlated random fields
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• Stochastic diffusion within expanding space-time
• Empirical process of long memory Gaussian subordinated random fields.

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