Tail Asymptotics of an Infinitely Divisible Space-time Model with Convolution Equivalent Lévy Measure

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Abstrakt

We consider a space-time random field on given as an integral of a kernel function with respect to a Lévy basis with a convolution equivalent Lévy measure. The field obeys causality in time and is thereby not continuous along the time axis. For a large class of such random fields we study the tail behaviour of certain functionals of the field. It turns out that the tail is asymptotically equivalent to the right tail of the underlying Lévy measure. Particular examples are the asymptotic probability that there is a time point and a rotation of a spatial object with fixed radius, in which the field exceeds the level x, and that there is a time interval and a rotation of a spatial object with fixed radius, in which the average of the field exceeds the level x.
OriginalsprogEngelsk
TidsskriftJournal of Applied Probability
Vol/bind58
Udgave nummer1
Sider (fra-til)42-67
Antal sider26
ISSN0021-9002
DOI
StatusUdgivet - mar. 2021

Bibliografisk note

Epub ahead of print. Published online: 25. Februar 2021

Emneord

  • Convolution equivalence
  • Infinite divisibility
  • Lévy-based modelling
  • Asymptotic equivalence
  • Sample paths for random fields

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