Limit theorems for supremum of Gaussian processes over a random interval

DOI10.1007/S11766-018-3438-7MaRDI QIDQ1989869zbMATHOpenAlexFDO

Authors Fuming Lin, Zuoxiang Peng

Publication date 29 October 2018

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-018-3438-7

zbMATH Keywords

regularly varying functionsstationary Gaussian processrandom intervalssupremum of a process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 3231168 (Why is no real title available?)
• Asymptotic Properties of Gaussian Processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Extremes and related properties of random sequences and processes
• Fractional Laplace motion
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• The supremum of a Gaussian process over a random interval

Cited in

(9)

• Limit theorems for maxima and crossings of a sequence of Gaussian processes and approximation of random processes
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• The supremum of a Gaussian process over a random interval
• scientific article; zbMATH DE number 5697252 (Why is no real title available?)
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• A note on transient Gaussian fluid models

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