Extremes of space-time Gaussian processes
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.
Year of publication: |
2009
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Authors: | Kabluchko, Zakhar |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 11, p. 3962-3980
|
Publisher: |
Elsevier |
Keywords: | Extremes Gaussian processes Space-time processes Pickands method Max-stable processes Empirical process Functional limit theorem |
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