Extremes of Gaussian chaos processes with trend

DOI10.1016/J.JMAA.2019.01.026MaRDI QIDQ2633360zbMATH OpenOpenAlexWikidataFDO

Authors Long Bai

Publication date 8 May 2019

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

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

zbMATH Keywords

asymptotic methodsPickands constantGaussian chaosgaussian vector processes

Mathematics Subject Classification ID

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

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.

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Cited in

(8)

• scientific article; zbMATH DE number 7662453 (Why is no real title available?)
• Extremes of Gaussian processes with a smooth random trend
• Distribution of extreme values for Gaussian sequences with a trend
• High extrema of Gaussian chaos processes
• Extremes of \(L^p\)-norm of vector-valued Gaussian processes with trend
• Extremes of locally stationary chi-square processes with trend
• High extremes of Gaussian chaos processes: a discrete time approximation approach
• Large extremes of Gaussian chaos processes

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