The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes

DOI10.1080/17442508.2012.756489MaRDI QIDQ2875256zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Gaussian processesextreme valuesstationary processesstrong dependencePickands constant

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• An extension to a strong law result of Mittal and Ylvisaker for the maxima of stationary Gaussian processes
• Asymptotic distribution for the sum and maximum of Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• 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
• Extremes and local dependence in stationary sequences
• Extremes values of discrete and continuous time strongly dependent Gaussian processes
• Limit distributions for the maxima of stationary Gaussian processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• Sojourns and extremes of 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
• 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
• Asymptotics of maxima of 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
• scientific article; zbMATH DE number 3872400 (Why is no real title available?)

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