Extremes values of discrete and continuous time strongly dependent Gaussian processes

DOI10.1080/03610926.2011.611322zbMATH Open1285.60047OpenAlexW2005294999MaRDI QIDQ2859293FDOQ2859293

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

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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)

Cites Work

• Title not available (Why is that?)
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Discrete and continuous time extremes of Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• Extreme values and high boundary crossings of locally stationary Gaussian processes
• Sojourns and extremes of Gaussian processes
• Cox limit theorem for large excursions of a norm of a Gaussian vector process

Cited In (11)

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

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