Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
From MaRDI portal
Publication:2512856
DOI10.1016/j.spa.2014.09.006zbMath1322.60072arXiv1311.3409OpenAlexW2016280306MaRDI QIDQ2512856
Sebastian Engelke, Enkelejd Hashorva, Bikramjit Das
Publication date: 30 January 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.3409
extreme value theoryBrown-Resnick processBrownian motionsfunctional convergencesquared Bessel processes
Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17)
Related Items (5)
Higher-order expansions of distributions of maxima in a Hüsler-Reiss model ⋮ The extremes of dependent chi-processes attracted by the Brown-Resnick process ⋮ Max-stable processes and stationary systems of Lévy particles ⋮ Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes ⋮ Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Minima and maxima of elliptical arrays and spherical processes
- On extremal behavior of Gaussian chaos
- Strong mixing properties of max-infinitely divisible random fields
- An equivalent representation of the Brown-Resnick process
- Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
- A formula for the tail probability of a multivariate normal distribution and its applications
- Extremes of independent Gaussian processes
- Extremes of independent chi-square random vectors
- Simulation of Brown-Resnick processes
- Stationary max-stable fields associated to negative definite functions
- Extremes and related properties of random sequences and processes
- Maxima of normal random vectors: Between independence and complete dependence
- Large deviations of a storage process with fractional Brownian motion as input
- Limit laws for extremes of dependent stationary Gaussian arrays
- Exact simulation of Brown-Resnick random fields at a finite number of locations
- Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
- Extremes in Random Fields
- Tail asymptotic of Weibull-type risks
- Level Sets and Extrema of Random Processes and Fields
- Extreme values of independent stochastic processes
- Statistical Inference for Max-Stable Processes in Space and Time
- Random Fields and Geometry
- Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
- Heavy-Tail Phenomena
- Statistical modeling of spatial extremes
This page was built for publication: Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process