Extremes of vector-valued Gaussian processes: exact asymptotics
DOI10.1016/j.spa.2015.05.015zbMath1321.60108arXiv1505.06461OpenAlexW1761016215MaRDI QIDQ491173
Enkelejd Hashorva, Lanpeng Ji, Kamil Tabiś, Krzysztof Dȩbicki
Publication date: 24 August 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.06461
extremesgeneralized Pickands constantgeneralized Piterbarg constantdouble-sum methodSlepian lemmaBorell-TIS inequalityPickands-Piterbarg lemmaPiterbarg inequalityvector-valued Gaussian processes
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)
Related Items (30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On asymptotic constants in the theory of extremes for Gaussian processes
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
- On the infimum attained by the reflected fractional Brownian motion
- Tail asymptotics for the extremes of bivariate Gaussian random fields
- Extremes of the time-average of stationary Gaussian processes
- Extremes of multidimensional Gaussian processes
- A note on upper estimates for Pickands constants
- Extreme values and high boundary crossings of locally stationary Gaussian processes
- Some inequalities for Gaussian processes and applications
- Sojourns and extremes of Gaussian processes
- A test for a conjunction
- Piterbarg theorems for chi-processes with trend
- Extremes of order statistics of stationary processes
- Exact simulation of Brown-Resnick random fields at a finite number of locations
- An approximation to cluster size distribution of two Gaussian random fields conjunction with application to fMRI data
- Comparison inequalities on Wiener space
- On the probability of conjunctions of stationary Gaussian processes
- Extremes of Gaussian processes over an infinite horizon
- Extremes in Random Fields
- Extremes and First Passage Times of Correlated Fractional Brownian Motions
- Parisian ruin of self-similar Gaussian risk processes
- Duration Distribution of the Conjunction of Two Independent F Processes
- Simulation of the Asymptotic Constant in Some Fluid Models
- Random Fields and Geometry
- Upcrossing Probabilities for Stationary Gaussian Processes
- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
This page was built for publication: Extremes of vector-valued Gaussian processes: exact asymptotics