Maxima and sum for discrete and continuous time Gaussian processes

DOI10.1007/S11464-015-0491-XMaRDI QIDQ256501zbMATH OpenOpenAlexFDO

Authors Yang Chen, Zhongquan Tan

Publication date 9 March 2016

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-015-0491-x

zbMATH Keywords

dependenceextreme valuescontinuous time processesdiscrete time processesstationary Gaussian processessums

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Asymptotic distribution for the sum and maximum of Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• Asymptotic models and inference for extremes of spatio-temporal data
• Asymptotics of maxima of strongly dependent Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Extremes and related properties of random sequences and processes
• Extremes values of discrete and continuous time strongly dependent Gaussian processes
• Joint behavior of point process of exceedances and partial sum from a Gaussian sequence
• Joint limit distributions of exceedances point processes and partial sums of Gaussian vector sequence
• Limit distributions for the maxima of stationary Gaussian processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• On the Joint Limiting Distribution of Sums and Maxima of Stationary Normal Sequence
• On the asymptotic joint distribution of the sum and maximum of stationary normal random variables
• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• The asymptotic relations between the maxima and sums of discrete and continuous time strongly dependent Gaussian processes
• The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
• Time series analysis: Methods and applications

Cited in

(16)

• The limit theorems on extreme order statistics and partial sums of i.i.d. random variables
• The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
• Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields
• Asymptotic distribution for the sum and maximum of Gaussian processes
• On the maxima of suprema of dependent Gaussian models
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids
• The asymptotic relations between the maxima and sums of discrete and continuous time strongly dependent Gaussian processes
• On the maxima of continuous and discrete time Gaussian order statistics processes
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• Approximation of the maximum of storage process with fractional Brownian motion as input
• Extremes values of discrete and continuous time strongly dependent Gaussian processes

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