scientific article; zbMATH DE number 846847

zbMATH Open0841.60024MaRDI QIDQ4864754FDOQ4864754

Authors: V. I. Piterbarg 

Publication date: 22 February 1996

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zbMATH Keywords

asymptotic expansionGaussian fieldshigh excursionsasymptotic behavior of maxima

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sample path properties (60G17)

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• On excursion sets, tube formulas and maxima of random fields.
• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Gaussian copula time series with heavy tails and strong time dependence
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• Asymptotic formula for the tail of the maximum of smooth stationary Gaussian fields on non locally convex sets
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• Asymptotic models and inference for extremes of spatio-temporal data
• Extremes of Gaussian fields with a smooth random variance
• The mean Euler characteristic and excursion probability of Gaussian random fields with stationary increments
• Kernel density estimators: convergence in distribution for weighted sup-norms
• Gaussian risk models with financial constraints
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• Extremes of a class of nonhomogeneous Gaussian random fields
• Extremes of independent Gaussian processes
• The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences
• Log-likelihood ratio test for detecting transient change
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• On asymptotic constants in the theory of extremes for Gaussian processes
• \(K\)-sample problem using strong approximations of empirical copula processes
• Extremes of Gaussian processes with a smooth random variance
• Convergence of exceedance point processes of normal sequences with a seasonal component and its applications
• Extremes of independent stochastic processes: a point process approach
• Extremes of stationary Gaussian storage models
• Testing for multiple change points
• On Piterbarg theorem for maxima of stationary Gaussian sequences
• Limiting distribution for the maximal standardized increment of a random walk
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• Parisian ruin over a finite-time horizon
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
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• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Exact simulation of Brown-Resnick random fields at a finite number of locations
• Extremes of vector-valued Gaussian processes: exact asymptotics
• Bounds on the suprema of Gaussian processes, and omega results for the sum of a random multiplicative function
• On maxima of partial samples in Gaussian sequences with pseudo-stationary trends
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• Validity of the expected Euler characteristic heuristic
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• Ruin probability for Gaussian integrated processes.
• The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes
• Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Extremes of Shepp statistics for the Wiener process
• Parisian ruin of the Brownian motion risk model with constant force of interest
• Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
• Ruin Probability for the Integrated Gaussian Process with Force of Interest
• Large deviations of Shepp statistics for fractional Brownian motion
• Extremes of Gaussian processes over an infinite horizon
• Point processes of exceedances by Gaussian random fields with applications to asymptotic locations of extreme order statistics
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• Level Sets and Extrema of Random Processes and Fields
• Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
• Tail approximations of integrals of Gaussian random fields
• Piterbarg theorems for chi-processes with trend
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• On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
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• Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators
• Extremes of Gaussian processes with smooth random expectation and smooth random variance
• Conjunction probability of smooth centered Gaussian processes
• Sojourn times of Gaussian processes with trend
• Extremes of standard multifractional Brownian motion
• Reduced-load equivalence for Gaussian processes
• On the shape of trajectories of Gaussian processes having large massive excursions. II
• Prospective space-time surveillance with cumulative surfaces for geographical identification of the emerging cluster
• Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic on partly not identically distributed data
• Some limit results on supremum of Shepp statistics for fractional Brownian motion
• Jackknife multiplier bootstrap: finite sample approximations to the \(U\)-process supremum with applications
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• Maximal Inequalities for Fractional Brownian Motion: An Overview
• Multiscale adaptive inference on conditional moment inequalities
• The joint distribution of running maximum of a Slepian process
• Limit laws for the maxima of stationary chi-processes under random index

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