Extremes of Shepp statistics for fractional Brownian motion
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Publication:498134
DOI10.1007/s11425-014-4945-5zbMath1322.60075OpenAlexW2055046233MaRDI QIDQ498134
Publication date: 25 September 2015
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-014-4945-5
fractional Brownian motionextremesShepp statisticsfractional Brownian fieldexact tail asymptoticsGumbel limit law
Random fields (60G60) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)
Related Items (4)
Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Parisian ruin over a finite-time horizon ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields
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