On shape of high massive excursions of trajectories of Gaussian homogeneous fields

On shape of high massive excursions of trajectories of Gaussian homogeneous fields

We consider the asymptotic behavior of the probability of “physical extremes” of a Gaussian field which means the probability of excursions above a high level with diameters of their bases exceeding a fixed positive number. Also we deal with the path behaviour of such excursions in case they occur....

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Veröffentlicht in:Extremes (Boston) 2017-09, Vol.20 (3), p.691-711
Hauptverfasser: Hüsler, Jürg, Piterbarg, Vladimir I.
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic properties
Behavior
Civil Engineering
Economics
Environmental Management
Finance
Hydrogeology
Insurance
Management
Mathematics and Statistics
Normal distribution
Probability
Quality Control
Random variables
Reliability
Safety and Risk
Statistics
Statistics for Business
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Beschreibung
Zusammenfassung:We consider the asymptotic behavior of the probability of “physical extremes” of a Gaussian field which means the probability of excursions above a high level with diameters of their bases exceeding a fixed positive number. Also we deal with the path behaviour of such excursions in case they occur.
ISSN:1386-1999
1572-915X
DOI:10.1007/s10687-016-0281-1