A class of non-Gaussian second order random fields
(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)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1965030
- author
- Åberg, Sofia LU and Podgorski, Krzysztof LU
- organization
- publishing date
- 2011
- 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
- Springer
- external identifiers
-
- wos:000289733600004
- scopus:79955146267
- ISSN
- 1572-915X
- DOI
- 10.1007/s10687-010-0119-1
- language
- English
- LU publication?
- yes
- id
- abbc66bc-008b-426f-95c7-8fa6ba723868 (old id 1965030)
- date added to LUP
- 2016-04-01 14:03:09
- date last changed
- 2022-01-27 22:33:38
@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}},
keywords = {{Laplace distribution; Spectral density; Covariance function; Stationary; second order processes; Rice formula}},
language = {{eng}},
number = {{2}},
pages = {{187--222}},
publisher = {{Springer}},
series = {{Extremes}},
title = {{A class of non-Gaussian second order random fields}},
url = {{http://dx.doi.org/10.1007/s10687-010-0119-1}},
doi = {{10.1007/s10687-010-0119-1}},
volume = {{14}},
year = {{2011}},
}