High excursions for nonstationary generalized chi-square processes

DOI10.1016/0304-4149(94)90068-XzbMath0815.60045OpenAlexW2078977090MaRDI QIDQ1343584

Vladimir I. Piterbarg

Publication date: 30 June 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90068-x

zbMATH Keywords

Gaussian random processasymptotic behavior of large deviation probabilitieslarge deviation probabilities of Gaussian processes

Mathematics Subject Classification ID

Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

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High extrema of Gaussian chaos processes ⋮ Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes ⋮ Large extremes of Gaussian chaos processes ⋮ Local and uniform moduli of continuity of chi-square processes ⋮ On the tail asymptotics of supremum of stationary χ-processes with random trend ⋮ Extremes of L^p-norm of vector-valued Gaussian processes with trend ⋮ High excursions of a quadratic form for a Gaussian stationary vector process ⋮ Supremum of the Euclidean norms of the multidimensional Wiener process and Brownian bridge: sharp asymptotics of probabilities of large deviations ⋮ On extremal behavior of Gaussian chaos ⋮ High excursions of Bessel and related random processes ⋮ Unnamed Item ⋮ Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval ⋮ Asymptotic expansion of Gaussian chaos via probabilistic approach ⋮ Extremes of locally stationary Gaussian and chi fields on manifolds ⋮ On maxima of chi-processes over threshold dependent grids ⋮ Asymptotic confidence regions for density ridges ⋮ Extreme value theory for stochastic integrals of Legendre polynomials ⋮ High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach ⋮ On Probability of High Extremes for Product of Two Gaussian Stationary Processes ⋮ Piterbarg theorems for chi-processes with trend ⋮ On probability of high extremes for product of two independent Gaussian stationary processes ⋮ Limit laws for the maxima of stationary chi-processes under random index ⋮ On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences

Cites Work

• On extremal theory for stationary processes
• Point processes of exits by bivariate Gaussian processes and extremal theory for the \(\chi^2\)-process and its concomitants
• Sojourns and extremes of stationary processes
• Extremes and crossings for differentiable stationary processes with application to Gaussian processes in \(\mathbb{R}{}^ m\) and Hilbert space
• The Brunn-Minkowski inequality in Gauss space
• Asymptotics of large deviation probabilities for Gaussian fields
• On some global measures of the deviations of density function estimates
• Extreme values and crossings for theX²-Process and Other Functions of Multidimensional Gaussian Processes, by Reliability Applications
• Slepian models for X²-processes with dependent components with application to envelope upcrossings
• Asymptotic Properties of Gaussian Random Fields
• Upcrossing Probabilities for Stationary Gaussian Processes
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