Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids
Yingyin Lu, Zuoxiang Peng
Abstract
Open-access reader
Yingyin Lu, Zuoxiang Peng
Abstract
Open-access reader
In this paper, for centered homogeneous Gaussian random fields the joint limiting distributions of normalized maxima and minima over continuous time and uniform grids are investigated. It is shown that maxima and minima are asymptotic dependent for strongly dependent homogeneous Gaussian random field with the choice of sparse grid, Pickands' grid or dense grid, while for the weakly dependent Gaussian random field maxima and minima are asymptotically independent.
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In this paper, for centered homogeneous Gaussian random fields the joint limiting distributions of normalized maxima and minima over continuous time and uniform grids are investigated. It is shown that maxima and minima are asymptotic dependent for strongly dependent homogeneous Gaussian random field with the choice of sparse grid, Pickands' grid or dense grid, while for the weakly dependent Gaussian random field maxima and minima are asymptotically independent.
Key concepts: Maxima and minima, Maxima, Gaussian, Gaussian random field, Homogeneous, Grid, Random field, Statistical physics