Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes

DOI10.1007/s10687-005-6199-7zbMath1088.60014OpenAlexW2072714996MaRDI QIDQ2488451

Juerg Hüsler

Publication date: 24 May 2006

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-005-6199-7

zbMATH Keywords

discretizationsparse gridlocal stationaritydistribution of maximumdense grid

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05)

Related Items

Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields ⋮ Approximation of the maximum of storage process with fractional Brownian motion as input ⋮ Some asymptotic results on extremes of incomplete samples ⋮ Extremes on different grids and continuous time of stationary processes ⋮ On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes ⋮ On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes ⋮ On maxima of chi-processes over threshold dependent grids ⋮ Discretization error for the maximum of a Gaussian field ⋮ Extremes Values of Discrete and Continuous Time Strongly Dependent Gaussian Processes ⋮ Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids ⋮ On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields ⋮ The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes ⋮ Maxima and sum for discrete and continuous time Gaussian processes

Cites Work

• Extreme values and high boundary crossings of locally stationary Gaussian processes
• Extremes and related properties of random sequences and processes
• Sojourns and extremes of Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Asymptotic approximation of crossing probabilities of random sequences
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process

This page was built for publication: Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes