On probability of high extremes of Gaussian fields with a smooth random trend

Goran Popivoda and Siniša Stamatović

Statistics & Probability Letters, 2019, vol. 147, issue C, 29-35

Abstract: Let ξ1≔ξ1(t),t∈Rn be a centered locally ((E,α),Dt)-stationary Gaussian field, ξ2≔ξ2(t),t∈Rn be a centered differentiable in mean-square sense Gaussian field and η≔η(t),t∈Rn particular smooth random field, being independent of ξi, i=1,2. In this paper we discuss the asymptotics of Psupt∈Mk(ξi(t)+η(t))>u,asu→∞, where Mk⊂Rn is a smooth k-dimensional compact manifold, 0Keywords: Asymptotics; Gaussian fields; ((E,α),Dt)-stationary Gaussian fields; Random trend (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.11.025

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