Extremes on different grids and continuous time of stationary processes

DOI10.1016/J.JMAA.2018.01.008zbMATH Open1390.60129OpenAlexW2782832932MaRDI QIDQ1706348FDOQ1706348

Authors: Chengxiu Ling, Zhongquan Tan, Zuoxiang Peng

Publication date: 22 March 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.01.008

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zbMATH Keywords

extremal index stationary processes extremes Gumbel limit theorem Pickands grids

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

Cites Work

Extremes and related properties of random sequences and processes
On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
Limit theorem for maximum of the storage process with fractional Brownian motion as input
Discrete and continuous time extremes of Gaussian processes
Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
Asymptotics of maxima of strongly dependent Gaussian processes
Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
Exact simulation of Brown-Resnick random fields at a finite number of locations
Title not available (Why is that?)
Log-likelihood ratio test for detecting transient change
On extremal theory for stationary processes
High extrema of Gaussian chaos processes
Extremes and limit theorems for difference of chi-type processes
Piterbarg theorems for chi-processes with trend
On the maxima of continuous and discrete time Gaussian order statistics processes
Polar decomposition of regularly varying time series in star-shaped metric spaces
Extremes of locally stationary chi-square processes with trend
On Extremal Index of max-stable stationary processes
Option pricing impact of alternative continuous-time dynamics
Extremes of Some Sub-Sampled Time Series
Representations of \(\max\)-stable processes via exponential tilting
Generalized Pickands constants and stationary max-stable processes
On maxima of chi-processes over threshold dependent grids
On shape of high massive excursions of trajectories of Gaussian homogeneous fields

Cited In (4)

Approximation of the maximum of storage process with fractional Brownian motion as input
On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
EXTREMES: A CONTINUOUS-TIME PERSPECTIVE

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