2018/09/12 by Lifan Wu, Wu, Lifan, Gennady Samorodnitsky +1
Economics, Econometrics and Finance · Environmental Science · #60G70 #62E20 (Secondary) #91B72 (Primary) #FOS: Mathematics #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Probability (math.PR) #Soil Geostatistics and Mapping
paper · pdf · doi:10.48550/arxiv.1809.04477
openalex publication_date 2018/09/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study the extremes of multivariate regularly varying random fields. The crucial tools in our study are the tail field and the spectral field, notions that extend the tail and spectral processes of Basrak and Segers (2009). The spatial context requires multiple notions of extremal index, and the tail and spectral fields are applied to clarify these notions and other aspects of extremal clusters. An important application of the techniques we develop is to the Brown-Resnick random fields.