Some limit results on supremum of Shepp statistics for fractional Brownian motion

DOI10.1007/s11766-016-3417-9zbMath1374.60027MaRDI QIDQ2362938

Zhongquan Tan, Yang Chen

Publication date: 14 July 2017

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-016-3417-9

zbMATH Keywords

fractional Brownian motion; extremes; Shepp statistics; almost sure limit theorem; exact asymptotic

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60G70: Extreme value theory; extremal stochastic processes

Related Items

Limit laws on extremes of nonhomogeneous Gaussian random fields, Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics

Cites Work

• Unnamed Item
• Extremes of a class of nonhomogeneous Gaussian random fields
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Extremes of Shepp statistics for fractional Brownian motion
• Extremes of the standardized Gaussian noise
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs
• Limit laws of Erdős-Rényi-Shepp type
• The asymptotic distribution of the scan statistic under uniformity
• The supremum of a Gaussian process over a random interval
• Subexponential asymptotics of hybrid fluid and ruin models
• Large deviations of a storage process with fractional Brownian motion as input
• Multiscale testing of qualitative hypotheses
• On the maximum workload of a queue fed by fractional Brownian motion.
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• Limit laws for maxima of a stationary random sequence with random sample size
• Extremes of Shepp statistics for the Wiener process
• Large deviations of Shepp statistics for fractional Brownian motion
• The limit theorems for maxima of stationary Gaussian processes with random index
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• Extremes of Homogeneous Gaussian Random Fields
• Tail Asymptotics of the Supremum of a Regenerative Process
• Fractional Laplace motion
• Radon-Nikodym Derivatives of Gaussian Measures
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• First Passage Time for a Particular Gaussian Process