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Approximation of maximum of Gaussian random fields
Authors:Enkelejd Hashorva  Oleg Seleznjev  Zhongquan Tan
Affiliation:1. Department of Actuarial Science, Faculty of Business and Economics (HEC Lausanne), University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland;2. Department of Mathematics and Mathematical Statistics, Umeå University, SE-901 87 Umeå, Sweden;3. College of Mathematics, Physics and Information Engineering, Jiaxing University, Jiaxing 314001, PR China
Abstract:This contribution is concerned with Gumbel limiting results for supremum Mn=supt[0,Tn]?|Xn(t)| with Xn,nN2 centered Gaussian random fields with continuous trajectories. We show first the convergence of a related point process to a Poisson point process thereby extending previous results obtained in [8] for Gaussian processes. Furthermore, we derive Gumbel limit results for Mn as n and show a second-order approximation for E{Mnp}1/p for any p1.
Keywords:Maxima  Homogeneous Gaussian random fields  Non-homogeneous Gaussian random fields  Pickands constant  Piterbarg constant  Gumbel limit theorem
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