Extremes of Gaussian chaos processes with trend

DOI10.1016/J.JMAA.2019.01.026zbMATH Open1419.60031arXiv1807.00520OpenAlexW2962803457WikidataQ128596769 ScholiaQ128596769MaRDI QIDQ2633360FDOQ2633360

Authors: Long Bai 

Publication date: 8 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: Let $$ be a Gaussian vector process and let $$ be a continuous homogeneous function. In this paper we are concerned with the exact tail asymptotics of the chaos process $$ with trend function $h$. Both scenarios $$ is locally-stationary and $$ is non-stationary are considered. Important examples include the product of Gaussian processes and chi-processes.

Full work available at URL: https://arxiv.org/abs/1807.00520

Recommendations

• Extremes of \(L^p\)-norm of vector-valued Gaussian processes with trend
• High extrema of Gaussian chaos processes
• Large extremes of Gaussian chaos processes
• Extremes of Gaussian processes with a smooth random trend
• Extremes of vector-valued Gaussian processes with trend

zbMATH Keywords

asymptotic methodsPickands constantGaussian chaosgaussian vector processes

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Random Fields and Geometry
• Exact simulation of Brown-Resnick random fields at a finite number of locations
• Upcrossing Probabilities for Stationary Gaussian Processes
• On probability of high extremes for product of two independent Gaussian stationary processes
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• Extremes of Gaussian processes over an infinite horizon
• On asymptotic constants in the theory of extremes for Gaussian processes
• On the infimum attained by the reflected fractional Brownian motion
• Title not available (Why is that?)
• Ruin probability for Gaussian integrated processes.
• High extrema of Gaussian chaos processes
• On extremal behavior of Gaussian chaos
• On the asymptotic Laplace method and its application to random chaos
• Probability tails of Gaussian extrema
• Extremes of vector-valued Gaussian processes: exact asymptotics
• On generalised Piterbarg constants
• Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors
• Extremes of vector-valued Gaussian processes with trend
• Generalized Pickands constants and stationary max-stable processes
• Extremes of L^p-norm of vector-valued Gaussian processes with trend
• High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach

Cited In (3)

• Title not available (Why is that?)
• Extremes of Gaussian processes with a smooth random trend
• Distribution of extreme values for Gaussian sequences with a trend

This page was built for publication: Extremes of Gaussian chaos processes with trend

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2633360)