Records for time-dependent stationary Gaussian sequences

DOI10.1017/JPR.2019.77zbMath1462.60045arXiv1807.00337OpenAlexW3023590718MaRDI QIDQ5109490

Michael Falk, Simone A. Padoan, Amir Khorrami Chokami

Publication date: 12 May 2020

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.00337

zbMATH Keywords

Gaussian processincrementsrecordstrictly stationary processarrival timeclosed skew-normal distributionjoint records

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Uses Software

• sn

Cites Work

• A prospective combination of phase II and phase III in drug development
• Asymptotic behavior of the joint record values, with applications
• Time series: Theory and methods
• Records in a partially ordered set
• Records and 2-block records of 1-dependent stationary sequences under local dependence
• An invariance principle for sums and record times of regularly varying stationary sequences
• Some results on joint record events
• The extremes of a triangular array of normal random variables
• The multivariate skew-normal distribution
• On multivariate records from random vectors with independent components
• The Skew-normal Distribution and Related Multivariate Families*
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