The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
DOI10.1080/17442508.2012.756489zbMATH Open1316.60083OpenAlexW2075068675MaRDI QIDQ2875256FDOQ2875256
Authors: Zhongquan Tan, Linjun Tang 
Publication date: 14 August 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2012.756489
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Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)
Cites Work
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- Extremes and local dependence in stationary sequences
- Limit distributions for the maxima of stationary Gaussian processes
- On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
- 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 for the sum and maximum of Gaussian processes
- Extremes values of discrete and continuous time strongly dependent Gaussian processes
- Asymptotic distribution of sum and maximum for Gaussian processes
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- On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
- Sojourns and extremes of Gaussian processes
- An extension to a strong law result of Mittal and Ylvisaker for the maxima of stationary Gaussian processes
Cited In (13)
- Maxima and sum for discrete and continuous time Gaussian processes
- Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
- Asymptotics of maxima of strongly dependent Gaussian processes
- Extremes values of discrete and continuous time strongly dependent Gaussian processes
- 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 the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
- 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
- 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
- Title not available (Why is that?)
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