Some limit results on supremum of Shepp statistics for fractional Brownian motion

DOI10.1007/S11766-016-3417-9MaRDI QIDQ2362938zbMATH OpenOpenAlexFDO

Authors Zhongquan Tan, Yang Chen

Publication date 14 July 2017

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

Full work available at URL https://doi.org/10.1007/s11766-016-3417-9

zbMATH Keywords

almost sure limit theoremexact asymptoticextremesfractional Brownian motionShepp statistics

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

Recommendations

• Extremes of Shepp statistics for fractional Brownian motion
• Large deviations of Shepp statistics for fractional Brownian motion
• On the large increments of fractional Brownian motion
• Some liminf results on increments of fractional Brownian motion
• On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input

Cites work

• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• Extremes of a class of nonhomogeneous Gaussian random fields
• Extremes of homogeneous Gaussian random fields
• Extremes of Shepp statistics for fractional Brownian motion
• Extremes of Shepp statistics for the Wiener process
• Extremes of the standardized Gaussian noise
• First Passage Time for a Particular Gaussian Process
• Fractional Laplace motion
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs
• Large deviations of a storage process with fractional Brownian motion as input
• Large deviations of Shepp statistics for fractional Brownian motion
• Limit laws for maxima of a stationary random sequence with random sample size
• Limit laws of Erdős-Rényi-Shepp type
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Multiscale testing of qualitative hypotheses
• On the maximum workload of a queue fed by fractional Brownian motion.
• Radon-Nikodym Derivatives of Gaussian Measures
• Subexponential asymptotics of hybrid fluid and ruin models
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Tail Asymptotics of the Supremum of a Regenerative Process
• The asymptotic distribution of the scan statistic under uniformity
• The limit theorems for maxima of stationary Gaussian processes with random index
• The supremum of a Gaussian process over a random interval
• Using the generalized likelihood ratio statistic for sequential detection of a change-point

Cited in

(5)

• Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics
• On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
• Large deviations of Shepp statistics for fractional Brownian motion
• Limit laws on extremes of nonhomogeneous Gaussian random fields
• Extremes of Shepp statistics for fractional Brownian motion

This page was built for publication: Some limit results on supremum of Shepp statistics for fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2362938)