Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
From MaRDI portal
Publication:2393662
DOI10.1007/s10986-013-9196-6zbMath1274.60121OpenAlexW2019064047MaRDI QIDQ2393662
Zhongquan Tan, Enkelejd Hashorva
Publication date: 8 August 2013
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/resource/serval:BIB_BB0C85967FF9.P001/REF.pdf
Gaussian processesstrong dependencePickands constantexact tail asymptoticssupremum over a random interval
Related Items
On the asymptotics of supremum distribution for some iterated processes, On Piterbarg theorem for maxima of stationary Gaussian sequences, Unnamed Item, Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval, The limit theorems for maxima of stationary Gaussian processes with random index, Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals, Extremes of Shepp statistics for fractional Brownian motion, Limit theorems for supremum of Gaussian processes over a random interval, Extremes of multidimensional stationary Gaussian random fields, The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Exact asymptotics of supremum of a stationary Gaussian process over a random interval
- Extremes of the time-average of stationary Gaussian processes
- Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
- A new proof of an old result by Pickands
- A note on upper estimates for Pickands constants
- Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs
- Extremes of independent Gaussian processes
- Cox limit theorem for large excursions of a norm of a Gaussian vector process
- Extremes and related properties of random sequences and processes
- Limit distributions for the maxima of stationary Gaussian processes
- Ruin probability for Gaussian integrated processes.
- The supremum of a Gaussian process over a random interval
- Subexponential asymptotics of hybrid fluid and ruin models
- Gnedenko-type limit theorems for cyclostationary \(c^2\)-processes
- Limit laws for extremes of dependent stationary Gaussian arrays
- Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
- On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
- On maxima of partial samples in Gaussian sequences with pseudo-stationary trends
- Extremes of Gaussian processes over an infinite horizon
- Extremes Values of Discrete and Continuous Time Strongly Dependent Gaussian Processes
- THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS
- Simulation of the Asymptotic Constant in Some Fluid Models
- Asymptotics of Maxima of Strongly Dependent Gaussian Processes
- Asymptotic distribution of sum and maximum for Gaussian processes
- Tail Asymptotics of the Supremum of a Regenerative Process
- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
- Extremes of Gaussian processes with maximal variance near the boundary points
