Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval

DOI10.1007/S10986-013-9196-6zbMATH Open1274.60121OpenAlexW2019064047MaRDI QIDQ2393662FDOQ2393662

Authors: Zhongquan Tan, Enkelejd Hashorva 

Publication date: 8 August 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_BB0C85967FF9.P001/REF.pdf

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zbMATH Keywords

Gaussian processesstrong dependencePickands constantexact tail asymptoticssupremum over a random interval

Mathematics Subject Classification ID

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

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Cited In (18)

• A note on the extremal process of the supercritical Gaussian free field
• Logarithmic asymptotics for the supremum of a stochastic process
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• Small tails for the supremum of a Gaussian process
• Tail-Sensitive Gaussian Asymptotics for Marginals of Concentrated Measures in High Dimension
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Limit theorems for supremum of Gaussian processes over a random interval
• On Piterbarg theorem for maxima of stationary Gaussian sequences
• Sojourns of stationary Gaussian processes over a random interval
• Asymptotics of maxima of strongly dependent Gaussian processes
• Extremes of Shepp statistics for fractional Brownian motion
• The supremum of a Gaussian process over a random interval
• On the supremum from Gaussian processes over infinite horizon
• Extremes of multidimensional stationary Gaussian random fields
• The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models
• The limit theorems for maxima of stationary Gaussian processes with random index
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• On the asymptotics of supremum distribution for some iterated processes

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