A class of non-Gaussian second order random fields
Author
Summary, in English
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.
Department/s
Publishing year
2011
Language
English
Pages
187-222
Publication/Series
Extremes
Volume
14
Issue
2
Document type
Journal article
Publisher
Springer
Topic
- Probability Theory and Statistics
Keywords
- Laplace distribution
- Spectral density
- Covariance function
- Stationary
- second order processes
- Rice formula
Status
Published
ISBN/ISSN/Other
- ISSN: 1572-915X