Extremes values of discrete and continuous time strongly dependent Gaussian processes

DOI10.1080/03610926.2011.611322MaRDI QIDQ2859293zbMATHOpenAlexFDO

Authors Zhongquan Tan, Yuebao Wang

Publication date 7 November 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.611322

zbMATH Keywords

Gaussian processescontinuous time processesdiscrete time processesmaximaconvergence in distribution

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Asymptotic distribution of sum and maximum for Gaussian processes
• Cox limit theorem for large excursions of a norm of a Gaussian vector process
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Extreme values and high boundary crossings of locally stationary Gaussian processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Sojourns and extremes of Gaussian processes

Cited in

(14)

• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
• 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
• The limit theorems for maxima of stationary Gaussian processes with random index
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Discrete and continuous time extremes of Gaussian processes
• Maxima and sum for discrete and continuous time Gaussian processes
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Extreme values of the cyclostationary Gaussian random process

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