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A class of non-Gaussian second order random fields

Åberg, Sofia LU and Podgorski, Krzysztof LU (2011) In Extremes 14(2). p.187-222
Abstract
Non-Gaussian stochastic fields are introduced by means of integrals with respect to independently scattered stochastic measures distributed according to generalized Laplace laws. In particular, we discuss stationary second order random fields that, as opposed to their Gaussian counterpart, have a possibility of accounting for asymmetry and heavier tails. Additionally to this greater flexibility the models discussed continue to share most spectral properties with Gaussian processes. Their statistical distributions at crossing levels are computed numerically via the generalized Rice formula. The potential for stochastic modeling of real life phenomena that deviate from the Gaussian paradigm is exemplified by a stochastic field model with... (More)
Non-Gaussian stochastic fields are introduced by means of integrals with respect to independently scattered stochastic measures distributed according to generalized Laplace laws. In particular, we discuss stationary second order random fields that, as opposed to their Gaussian counterpart, have a possibility of accounting for asymmetry and heavier tails. Additionally to this greater flexibility the models discussed continue to share most spectral properties with Gaussian processes. Their statistical distributions at crossing levels are computed numerically via the generalized Rice formula. The potential for stochastic modeling of real life phenomena that deviate from the Gaussian paradigm is exemplified by a stochastic field model with Mat,rn covariances. (Less)
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Laplace distribution, Spectral density, Covariance function, Stationary, second order processes, Rice formula
in
Extremes
volume
14
issue
2
pages
187 - 222
publisher
Kluwer
external identifiers
  • wos:000289733600004
  • scopus:79955146267
ISSN
1572-915X
DOI
10.1007/s10687-010-0119-1
project
MERGE
language
English
LU publication?
yes
id
abbc66bc-008b-426f-95c7-8fa6ba723868 (old id 1965030)
date added to LUP
2011-05-23 11:50:20
date last changed
2017-01-01 06:01:36
@article{abbc66bc-008b-426f-95c7-8fa6ba723868,
  abstract     = {Non-Gaussian stochastic fields are introduced by means of integrals with respect to independently scattered stochastic measures distributed according to generalized Laplace laws. In particular, we discuss stationary second order random fields that, as opposed to their Gaussian counterpart, have a possibility of accounting for asymmetry and heavier tails. Additionally to this greater flexibility the models discussed continue to share most spectral properties with Gaussian processes. Their statistical distributions at crossing levels are computed numerically via the generalized Rice formula. The potential for stochastic modeling of real life phenomena that deviate from the Gaussian paradigm is exemplified by a stochastic field model with Mat,rn covariances.},
  author       = {Åberg, Sofia and Podgorski, Krzysztof},
  issn         = {1572-915X},
  keyword      = {Laplace distribution,Spectral density,Covariance function,Stationary,second order processes,Rice formula},
  language     = {eng},
  number       = {2},
  pages        = {187--222},
  publisher    = {Kluwer},
  series       = {Extremes},
  title        = {A class of non-Gaussian second order random fields},
  url          = {http://dx.doi.org/10.1007/s10687-010-0119-1},
  volume       = {14},
  year         = {2011},
}