Large deviations of Shepp statistics for fractional Brownian motion
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Publication:2435744
DOI10.1016/j.spl.2013.06.013zbMath1288.60048arXiv1306.1998OpenAlexW2022240965MaRDI QIDQ2435744
Enkelejd Hashorva, Zhongquan Tan
Publication date: 19 February 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.1998
Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)
Related Items (7)
Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Extremes of a class of nonhomogeneous Gaussian random fields ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ Large deviations of time-averaged statistics for Gaussian processes ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
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