Extremes of Gaussian Random Fields with regularly varying dependence structure
Abstract
Let be a centered Gaussian random field with variance function that attains its maximum at the unique point , and let . For a compact subset of , the current literature explains the asymptotic tail behaviour of under some regularity conditions including that has a polynomial decrease to 0 as . In this contribution we consider more general case that is regularly varying at . We extend our analysis to random fields defined on some compact , deriving the exact tail asymptotics of for the class of Gaussian random fields with variance and correlation functions being regularly varying at . 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.
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