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Limiting crossing probabilities of random fields

Part of:Stochastic processesLimit theorems

Published online by Cambridge University Press:  14 July 2016

L. Pereira and
H. Ferreira
L. Pereira*
Affiliation:
University of Beira Interior
H. Ferreira*
Affiliation:
University of Beira Interior
*
∗ Postal address: Department of Mathematics, University of Beira Interior, 6200 Covilhã, Portugal.
∗∗ Email address: helena@mat.ubi.pt
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Abstract

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Random fields on , with long-range weak dependence for each coordinate individually, usually present clustering of high values. For each one of the eight directions in , we formulate restriction conditions on local occurrence of two or more crossings of high levels. These smooth oscillation conditions enable computation of the extremal index as a clustering measure from the limiting mean number of crossings. In fact, only four directions must be inspected since for opposite directions we find the same local path crossing behaviour and the same limiting mean number of crossings. The general theory is illustrated with several 1-dependent nonstationary random fields.

Keywords

Random fielddependencenonstationarityextremal index

MSC classification

Primary:60G60: Random fields60G70: Extreme value theory; extremal processes60F99: None of the above, but in this section

Information

Type
Research Article
Information
Journal of Applied Probability , Volume 43 , Issue 3 , September 2006, pp. 884 - 891
Copyright
© Applied Probability Trust 2006 

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