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

zbMATH Keywords

extremesgeneralized Pickands constantgeneralized Piterbarg constantdouble-sum methodSlepian lemmaBorell-TIS inequalityPickands-Piterbarg lemmaPiterbarg inequalityvector-valued Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items (30)

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