A note on extreme values of locally stationary Gaussian processes (Q1890878)
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scientific article; zbMATH DE number 758080
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| English | A note on extreme values of locally stationary Gaussian processes |
scientific article; zbMATH DE number 758080 |
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A note on extreme values of locally stationary Gaussian processes (English)
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15 January 1996
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To derive limit theorems for the distribution of extreme values of locally stationary Gaussian processes \(X(t)\) which satisfy Berman's condition for long range dependence, a general time transformation is used. This technique provides relations useful for instance for the proof of a limit theorem for the probability of the non-crossing of \(X(t)\) of a nonconstant level \(u_T (t)\).
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boundary crossing
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extreme values
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locally stationary Gaussian processes
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long range dependence
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0.8807499408721924
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0.7988715171813965
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0.7947114706039429
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0.7945377826690674
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