Extremes of Gaussian random fields with non-additive dependence structure

arXiv2108.09225MaRDI QIDQ6375686FDOQ6375686

Long Bai, Peng Liu, Krzysztof Dȩbicki

Publication date: 20 August 2021

Abstract: We derive exact asymptotics of

mathbb{P}left(sup_{mathbf{t}in {mathcal{A}}}X(mathbf{t})>u ight),~ ext{as}~ u oinfty,

for a centered Gaussian field

X (m a t h b f t), m a t h b f t i n m a t h c a l A s u b s e t m a t h b b R^{n}

,

n > 1

with continuous sample paths a.s., for which

a r g m a x_{m a t h b f t i n m a t h c a l A} V a r (X (m a t h b f t))

is a Jordan set with finite and positive Lebesque measure of dimension

k l e q n

and its dependence structure is not necessarily locally stationary. Our findings are applied to deriving the asymptotics of tail probabilities related to performance tables and chi processes where the covariance structure is not locally stationary.

Mathematics Subject Classification ID

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

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