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Probability distributions of extremes of self-similar Gaussian random fields

Probability 2014-07-02 v1

Abstract

We have obtained some upper bounds for the probability distribution of extremes of a self-similar Gaussian random field with stationary rectangular increments that are defined on the compact spaces. The probability distributions of extremes for the normalized self-similar Gaussian random fields with stationary rectangular increments defined in R+2{\mathbb{R}}^2_+ have been presented. In our work we have used the techniques developed for the self-similar fields and based on the classical series analysis of the maximal probability bounding from below for the Gaussian fields.

Keywords

Cite

@article{arxiv.1407.0134,
  title  = {Probability distributions of extremes of self-similar Gaussian random fields},
  author = {Vitalii Makogin and Yuriy Kozachenko},
  journal= {arXiv preprint arXiv:1407.0134},
  year   = {2014}
}