High extrema of Gaussian chaos processes
DOI10.1007/S10687-016-0239-3zbMATH Open1339.60062OpenAlexW2341383104MaRDI QIDQ291406FDOQ291406
Authors: V. I. Piterbarg 
Publication date: 7 June 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-016-0239-3
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Wiener chaosasymptotic methodsdouble sum methodextremaGaussian chaosGaussian stationary vector processeslarge excursions
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Other physical applications of random processes (60K40)
Cites Work
- On probability of high extremes for product of two independent Gaussian stationary processes
- Asymptotic expansion of Gaussian chaos via probabilistic approach
- Twenty lectures about Gaussian processes
- High excursions for nonstationary generalized chi-square processes
- Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
- Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
- Extremes and limit theorems for difference of chi-type processes
- Extreme values and crossings for theX2-Process and Other Functions of Multidimensional Gaussian Processes, by Reliability Applications
- On extremal behavior of Gaussian chaos
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- Limit Theorem for High Levela-Upcrossings by $\chi$-Process
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- On the asymptotic Laplace method and its application to random chaos
Cited In (20)
- Extremes of Gaussian chaos processes with trend
- Approximation of sojourn times of Gaussian processes
- Asymptotic expansion of Gaussian chaos via probabilistic approach
- Approximation of maximum of Gaussian random fields
- Extremal behavior of hitting a cone by correlated Brownian motion with drift
- High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach
- Large extremes of Gaussian chaos processes
- Asymptotic behaviour of high Gaussian minima
- Method of Moments for Exit Probabilities of Gaussian Vector Processes From a Large Region
- Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
- Extremes on different grids and continuous time of stationary processes
- High excursions of Bessel and related random processes
- The extremes of dependent chi-processes attracted by the Brown-Resnick process
- On probability of high extremes for product of two independent Gaussian stationary processes
- Extremes of randomly scaled Gumbel risks
- Extremes of Gaussian random fields with regularly varying dependence structure
- High excursions of a quadratic form for a Gaussian stationary vector process
- Extremes of threshold-dependent Gaussian processes
- Title not available (Why is that?)
- On generalised Piterbarg constants
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