Extreme values of the cyclostationary Gaussian random process

DOI10.2307/3214623zbMath0768.60048OpenAlexW4249674371MaRDI QIDQ5285998

D. G. Konstant, Vladimir I. Piterbarg

Publication date: 29 June 1993

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214623

zbMATH Keywords

large deviationscyclostationary Gaussian random processesGnedenko- type limit formula

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Sample path properties (60G17)

Related Items (14)

Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes ⋮ Confidence bands in density estimation ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ Extremes of L^p-norm of vector-valued Gaussian processes with trend ⋮ On generalised Piterbarg constants ⋮ Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates ⋮ On the Periodized Square ofL²Cardinal Splines ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields ⋮ Exact overflow asymptotics for queues with many Gaussian inputs ⋮ The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models ⋮ A prediction‐residual approach for identifying rare events in periodic time series ⋮ On extremal theory for self-similar processes ⋮ Extremes of totally skewed \(\alpha \)-stable processes ⋮ On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields

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