Large deviations of Shepp statistics for fractional Brownian motion

DOI10.1016/J.SPL.2013.06.013MaRDI QIDQ2435744zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

exact asymptoticsextremesfractional Brownian motionscan statisticsShepp statistics

Mathematics Subject Classification ID

Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Define the incremental fractional Brownian field $B_H(s+au)-B_H(s),Hin(0,1)$, where $B_H(s)$ is a standard fractional Brownian motion with Hurst index $Hin(0,1)$. In this paper we derive the exact asymptotic behaviour of the maximum $ma{x}_{(au,s)in[0,1]imes[0,T]}(B_H(s+au)-B_H(s))$ for any $Hin(0,1/2)$ complimenting thus the result of Zholud (2008) for the Brownian motion.

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Cited in

(9)

• Large deviations of time-averaged statistics for Gaussian processes
• Small values of the maximum for the integral of fractional Brownian motion
• Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
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• Extremes of a class of nonhomogeneous Gaussian random fields
• scientific article; zbMATH DE number 5005219 (Why is no real title available?)
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