Extremes of space-time Gaussian processes

Zakhar Kabluchko

Stochastic Processes and their Applications, 2009, vol. 119, issue 11, 3962-3980

Abstract: Let be a space-time Gaussian process which is stationary in the time variable t. We study Mn(h)=supt[set membership, variant][0,n]Zt(snh), the supremum of Z taken over t[set membership, variant][0,n] and rescaled by a properly chosen sequence sn-->0. Under appropriate conditions on Z, we show that for some normalizing sequence bn-->[infinity], the process bn(Mn-bn) converges as n-->[infinity] to a stationary max-stable process of Brown-Resnick type. Using strong approximation, we derive an analogous result for the empirical process.

Keywords: Extremes; Gaussian; processes; Space-time; processes; Pickands; method; Max-stable; processes; Empirical; process; Functional; limit; theorem (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(09)00136-7
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:119:y:2009:i:11:p:3962-3980

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().