Semicontinuous processes in multi-dimensional extreme value theory

Tommy Norberg

Stochastic Processes and their Applications, 1987, vol. 25, 27-55

Abstract: The structure of the large values attained by a stationary random process indexed by a one-dimensional parameter is well described in the literature in many cases of interest. Here this structure is described in terms of semicontinuous processes. The main advantage with this is that it automatically generalizes to processes with multi-dimensional parameter. Concrete asymptotic results are given for Gaussian fields, which, in case of continuous parameter, may possess very erratic sample paths.

Keywords: extreme; values; random; fields; semicontinuous; processes; Gaussian; fields (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (3)

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