On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields

Zhongquan Tan; Kaiyong Wang

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arXiv · 1502.01333

On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields

Zhongquan Tan·Kaiyong Wang

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Abstract

Motivated by the papers of Piterbarg (2004) and Hüsler (2004), in this paper the asymptotic relation between the maximum of a continuous dependent homogeneous Gaussian random field and the maximum of this field sampled at discrete time points is studied. It is shown that, for the weakly dependent case, these two maxima are asymptotically independent, dependent and coincide when the grid of the discrete time points is a sparse grid, Pickands grid and dense grid, respectively, while for the strongly dependent case, these two maxima are asymptotically totally dependent if the grid of the discrete time points is sufficiently dense, and asymptotically dependent if the the grid points are sparse or Pickands grids.

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Zhongquan Tan, Kaiyong Wang. 2015-02-04. On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields. https://arxiv.org/abs/1502.01333

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