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  5. Extreme Value Theory for Long Range Dependent Stable Random Fields

Extreme Value Theory for Long Range Dependent Stable Random Fields

File(s)
RandomFieldsEVT1013.pdf (468.61 KB)
Permanent Link(s)
https://hdl.handle.net/1813/59211
Collections
ORIE Technical Reports
Author
Chen, Zaoli
Samorodnitsky, Gennady
Abstract

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 Fr'echet distribution.

Sponsorship
This research was partially supported by the NSF grant DMS-1506783 and the ARO grant W911NF-18 -10318 at Cornell University
Date Issued
2018-10-15
Keywords
random field
•
extremal limit theorem
•
random sup measure
•
random closed set
•
long range dependence
•
stable law
•
heavy tails
Type
technical report

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