Extreme Value Theory for Long-Range-Dependent Stable Random Fields

被引：4

作者：

Chen, Zaoli ^{[1
]}

Samorodnitsky, Gennady ^{[2
]}

机构：

[1] Cornell Univ, Dept Math, Ithaca, NY 14853 USA

[2] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14853 USA

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2020年 / 33卷 / 04期

关键词：

Random field; Extremal limit theorem; Random sup measure; Random closed set; Long-range dependence; Stable law; Heavy tails; STATIONARY; MEMORY;

D O I：

10.1007/s10959-019-00951-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the extremes for a class of a symmetric stable random fields with long-range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of several variables. The limits in both types of theorems are of a new kind, and only in a certain range of parameters, these limits have the Frechet distribution.

引用

页码：1894 / 1918

页数：25

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