English

Extremes of Gaussian Random Fields with regularly varying dependence structure

Probability 2016-05-31 v1

Abstract

Let X(t),tTX(t), t\in \mathcal{T} be a centered Gaussian random field with variance function σ2()\sigma^2(\cdot) that attains its maximum at the unique point t0Tt_0\in \mathcal{T}, and let M(T):=suptTX(t)M(\mathcal{T}):=\sup_{t\in \mathcal{T}} X(t). For T\mathcal{T} a compact subset of R\R, the current literature explains the asymptotic tail behaviour of M(T)M(\mathcal{T}) under some regularity conditions including that 1σ(t)1- \sigma(t) has a polynomial decrease to 0 as tt0t \to t_0. In this contribution we consider more general case that 1σ(t)1- \sigma(t) is regularly varying at t0t_0. We extend our analysis to random fields defined on some compact TR2\mathcal{T}\subset \R^2, deriving the exact tail asymptotics of M(T)M(\mathcal{T}) for the class of Gaussian random fields with variance and correlation functions being regularly varying at t0t_0. A crucial novel element is the analysis of families of Gaussian random fields that do not possess locally additive dependence structures, which leads to qualitatively new types of asymptotics.

Keywords

Cite

@article{arxiv.1605.08946,
  title  = {Extremes of Gaussian Random Fields with regularly varying dependence structure},
  author = {Krzyztof Dębicki and Enkelejd Hashorva and Peng Liu},
  journal= {arXiv preprint arXiv:1605.08946},
  year   = {2016}
}

Comments

38 pages

R2 v1 2026-06-22T14:12:07.587Z