Large deviations of Shepp statistics for fractional Brownian motion
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Publication:2435744
DOI10.1016/j.spl.2013.06.013zbMath1288.60048arXiv1306.1998MaRDI QIDQ2435744
Enkelejd Hashorva, Zhongquan Tan
Publication date: 19 February 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.1998
60G22: Fractional processes, including fractional Brownian motion
60G70: Extreme value theory; extremal stochastic processes
60F10: Large deviations
Related Items
Limit laws on extremes of nonhomogeneous Gaussian random fields, Extremes of a class of nonhomogeneous Gaussian random fields, Extremes of Shepp statistics for fractional Brownian motion, Large deviations of time-averaged statistics for Gaussian processes, Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics, Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \), Some limit results on supremum of Shepp statistics for fractional Brownian motion
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