Extreme values of the cyclostationary Gaussian random process

DOI10.2307/3214623MaRDI QIDQ5285998zbMATH OpenOpenAlexFDO

Authors D. G. Konstant, V. 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

cyclostationary Gaussian random processesGnedenko- type limit formulalarge deviations

Mathematics Subject Classification ID

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

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Cited in

(20)

• On extremal theory for self-similar processes
• Extremes of totally skewed \(\alpha \)-stable processes
• On generalised Piterbarg constants
• Gnedenko-type limit theorems for cyclostationary c^2-processes
• A note on extreme values of locally stationary Gaussian processes
• Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
• The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
• Confidence bands in density estimation
• Cycle range distributions for Gaussian processes -- exact and approximative results
• Exact overflow asymptotics for queues with many Gaussian inputs
• On extreme value theory for group stationary Gaussian processes
• Limit laws on extremes of nonhomogeneous Gaussian random fields
• On the Periodized Square ofL²Cardinal Splines
• Pickands-Piterbarg constants for self-similar Gaussian processes
• Extremes of L^p-norm of vector-valued Gaussian processes with trend
• A prediction-residual approach for identifying rare events in periodic time series
• Central limit theorems for the number of maxima and an estimator of the second spectral moment of a stationary Gaussian process, with application to hydroscience
• Ruin theory problems in simple SDE models with large deviation asymptotics

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