Extremes of Gaussian random fields with non-additive dependence structure

Abstract

We derive exact asymptotics of $$\mathbb{P}\left(\sup_{\mathbf{t}\in {\mathcal{A}}}X(\mathbf{t})>u\right),~ \text{as}~ u\to\infty,$$ for a centered Gaussian field $X(\mathbf{t}),~ \mathbf{t}\in \mathcal{A}\subset\mathbb{R}^n$, $n>1$ with continuous sample paths a.s., for which $\arg \max_{\mathbf{t}\in {\mathcal{A}}} Var(X(\mathbf{t}))$ is a Jordan set with finite and positive Lebesque measure of dimension $k\leq n$ and its dependence structure is not necessarily locally stationary. Our findings are applied to deriving the asymptotics of tail probabilities related to performance tables and chi processes where the covariance structure is not locally stationary.