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Limit laws on extremes of nonhomogeneous Gaussian random fields
Published online by Cambridge University Press: 15 September 2017
Abstract
In this paper, by using the tail asymptotics derived by Dębicki et al. (2016), we prove the Gumbel limit laws for the maximum of a class of nonhomogeneous Gaussian random fields. As an application of the main results, we derive the Gumbel limit law for Shepp statistics of fractional Brownian motion and Gaussian integrated processes.
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- Copyright © Applied Probability Trust 2017
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