任意索引集上静止规则变化随机场的极值

IF 1.1 3区 数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS
Riccardo Passeggeri, Olivier Wintenberger
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引用次数: 0

摘要

我们考虑的是任意增长指数集上的静态规律变化随机场的极值聚类问题。我们研究了指数集的充分假定,即超过高阈值的超出点过程的极限是存在的。在所谓的反聚类条件下,极值依赖性只是局部的。因此,与以前的文献(Basrak 和 Planinić 在 Bernoulli 27(2):1371-1408, 2021 年;Stehr 和 Rønn-Nielsen 在 Extremes 24(4):753-795, 2021 年)相比,指数集可以具有一般形式。然而,除了晶格情况下的超矩形或索引集之外,我们无法用通常的谱尾度量(Wu 和 Samorodnitsky 在 Stochastic Process Appl 130(7):4470-4492, 2020 中)来描述极值的聚类。利用最近对星形配备空间的谱度量的扩展(Segers 等人,载于 Extremes 20:539-566, 2017),\(\Upsilon\)-谱尾度量提供了一种自然扩展,可以完全概括地描述聚类效应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Extremes for stationary regularly varying random fields over arbitrary index sets

Extremes for stationary regularly varying random fields over arbitrary index sets

We consider the clustering of extremes for stationary regularly varying random fields over arbitrary growing index sets. We study sufficient assumptions on the index set such that the limit of the point processes of the exceedances above a high threshold exists. Under the so-called anti-clustering condition, the extremal dependence is only local. Thus the index set can have a general form compared to previous literature (Basrak and Planinić in Bernoulli 27(2):1371–1408, 2021; Stehr and Rønn-Nielsen in Extremes 24(4):753–795, 2021). However, we cannot describe the clustering of extreme values in terms of the usual spectral tail measure (Wu and Samorodnitsky in Stochastic Process Appl 130(7):4470–4492, 2020) except for hyperrectangles or index sets in the lattice case. Using the recent extension of the spectral measure for star-shaped equipped space (Segers et al. in Extremes 20:539–566, 2017), the \(\Upsilon\)-spectral tail measure provides a natural extension that describes the clustering effect in full generality.

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来源期刊
Extremes
Extremes MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
2.20
自引率
7.70%
发文量
15
审稿时长
>12 weeks
期刊介绍: Extremes publishes original research on all aspects of statistical extreme value theory and its applications in science, engineering, economics and other fields. Authoritative and timely reviews of theoretical advances and of extreme value methods and problems in important applied areas, including detailed case studies, are welcome and will be a regular feature. All papers are refereed. Publication will be swift: in particular electronic submission and correspondence is encouraged. Statistical extreme value methods encompass a very wide range of problems: Extreme waves, rainfall, and floods are of basic importance in oceanography and hydrology, as are high windspeeds and extreme temperatures in meteorology and catastrophic claims in insurance. The waveforms and extremes of random loads determine lifelengths in structural safety, corrosion and metal fatigue.
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