Maxima and sum for discrete and continuous time Gaussian processes

DOI10.1007/S11464-015-0491-XMaRDI QIDQ256501zbMATH OpenOpenAlexFDO

Authors Yang Chen, Zhongquan Tan

Publication date 9 March 2016

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-015-0491-x

zbMATH Keywords

continuous time processesdependencediscrete time processesextreme valuesstationary Gaussian processessums

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• Asymptotic distribution for the sum and maximum of Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• Asymptotic models and inference for extremes of spatio-temporal data
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Asymptotics of maxima of strongly dependent Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Extremes and related properties of random sequences and processes
• Extremes values of discrete and continuous time strongly dependent Gaussian processes
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Joint behavior of point process of exceedances and partial sum from a Gaussian sequence
• Joint limit distributions of exceedances point processes and partial sums of Gaussian vector sequence
• Limit distributions for the maxima of stationary Gaussian processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• On the asymptotic joint distribution of the sum and maximum of stationary normal random variables
• On the Joint Limiting Distribution of Sums and Maxima of Stationary Normal Sequence
• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• The asymptotic relations between the maxima and sums of discrete and continuous time strongly dependent Gaussian processes
• The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
• Time series analysis: Methods and applications

Cited in

(17)

• Approximation of the maximum of storage process with fractional Brownian motion as input
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Asymptotic distribution for the sum and maximum of Gaussian processes
• Extremes values of discrete and continuous time strongly dependent Gaussian processes
• The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• The asymptotic relations between the maxima and sums of discrete and continuous time strongly dependent Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields
• On the maxima of continuous and discrete time Gaussian order statistics processes
• Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids
• On the maxima of suprema of dependent Gaussian models
• The limit theorems on extreme order statistics and partial sums of i.i.d. random variables
• On the partial sums and extreme order statistics of i.i.d. random variables

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