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Article Dans Une Revue Extremes Année : 2024

Spatial extremes and stochastic geometry for Gaussian-based peaks-over-threshold processes

Résumé

Geometric properties of exceedance regions above a given quantile level provide meaningful theoretical and statistical characterizations for stochastic processes defined on Euclidean domains. Many theoretical results have been obtained for excursions of Gaussian processes and include expected values of the so-called Lipschitz-Killing curvatures (LKCs), such as the area, perimeter and Euler characteristic in two-dimensional Euclidean space. In this paper, we derive novel results for the expected LKCs of excursion sets of more general processes whose construction is based on location or scale mixtures of a Gaussian process, which means that the mean or the standard deviation, respectively, of a stationary Gaussian process is a random variable. We first present exact formulas for peaks-over-threshold-stable limit processes (so-called Pareto processes) arising from the use of Gaussian or log-Gaussian spectral functions in the spectral construction of max-stable processes. These peaks-over-threshold limits are known to arise for Gaussian location or scale mixtures if the mixing distributions satisfies certain regular-variation properties. As a second important result, we show that expected LKCs of excursion sets of such general mixture processes converge to the corresponding expressions of their Pareto process limits. We further provide exact subasymptotic formulas of expected LKCs for various specific choices of the distribution of the mixing variable. Finally, we discuss consistent empirical estimation of LKCs of exceedance regions and implement numerical experiments to illustrate the rate of convergence towards asymptotic expressions. An application to daily temperature data simulated by climate models for the period 1951-2005 over a regular pixel grid covering continental France showcases the practical utility of the new results.
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Dates et versions

hal-04591429 , version 1 (28-05-2024)

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Elena Di Bernardino, Anne Estrade, Thomas Opitz. Spatial extremes and stochastic geometry for Gaussian-based peaks-over-threshold processes. Extremes, 2024, ⟨10.1007/s10687-024-00487-z⟩. ⟨hal-04591429⟩
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