Piterbarg theorems for chi-processes with trend

DOI10.1007/s10687-014-0201-1zbMath1315.60042arXiv1309.0255MaRDI QIDQ2340037

Lanpeng Ji, Enkelejd Hashorva

Publication date: 15 April 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0255

zbMATH Keywords

Gaussian random fields; Pickands constant; Piterbarg theorem; chi-processes

Mathematics Subject Classification ID

60G60: Random fields

60G15: Gaussian processes

60G10: Stationary stochastic processes

60G70: Extreme value theory; extremal stochastic processes

60F10: Large deviations

Related Items

Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon, 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, Unnamed Item, On maxima of chi-processes over threshold dependent grids, On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences, The extremes of dependent chi-processes attracted by the Brown-Resnick process, Parisian ruin over a finite-time horizon, Asymptotic expansions for bivariate normal extremes, Parisian ruin of the Brownian motion risk model with constant force of interest, Extremes of vector-valued Gaussian processes: exact asymptotics, Extremes of locally stationary chi-square processes with trend, Extremes of threshold-dependent Gaussian processes, On generalised Piterbarg constants, Extremes on different grids and continuous time of stationary processes, On probability of high extremes of Gaussian fields with a smooth random trend, Extremes of locally stationary Gaussian and chi fields on manifolds, Extrema of a Gaussian random field: Berman's sojourn time method, High excursions of Bessel and related random processes, Sojourn times of Gaussian processes with trend, High excursions of Bessel process and other processes of Bessel type, Extremes of order statistics of stationary processes, Extremes and limit theorems for difference of chi-type processes, Parisian ruin of self-similar Gaussian risk processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On asymptotic constants in the theory of extremes for Gaussian processes
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• On the infimum attained by the reflected fractional Brownian motion
• Extremes of the time-average of stationary Gaussian processes
• Log-likelihood ratio test for detecting transient change
• Extremes of independent Gaussian processes
• Extremes of independent chi-square random vectors
• On extremal theory for stationary processes
• Asymptotic behaviour of a test statistic for detection of change in mean of vectors
• Point processes of exits by bivariate Gaussian processes and extremal theory for the \(\chi^2\)-process and its concomitants
• On extremal theory for self-similar processes
• High excursions for nonstationary generalized chi-square processes
• Ruin probability for Gaussian integrated processes.
• Sub-fractional Brownian motion and its relation to occupation times
• Large deviations of a storage process with fractional Brownian motion as input
• On a test statistic for linear trend
• Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
• Laws of Small Numbers: Extremes and Rare Events
• On the Mean of a Stochastic Integral with Non-Gaussian α-Stable Noise
• Behaviour of χ² processes at extrema
• 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
• Random Fields and Geometry
• Upcrossing Probabilities for Stationary Gaussian Processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Large deviation probabilities for square-Gaussian stochastic processes