Extremes of the time-average of stationary Gaussian processes

DOI10.1016/J.SPA.2011.05.005zbMATH Open1227.60045OpenAlexW1974082370MaRDI QIDQ554456FDOQ554456

Krzysztof Dȩbicki, Kamil Tabiś

Publication date: 4 August 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.05.005

zbMATH Keywords

extremesstationary Gaussian processtime-average

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Cites Work

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Cited In (16)

• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Title not available (Why is that?)
• Pickands-Piterbarg constants for self-similar Gaussian processes
• On the infimum attained by the reflected fractional Brownian motion
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• On the \(\gamma\)-reflected processes with fBm input
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• Extremes of vector-valued Gaussian processes: exact asymptotics
• Large deviations of Shepp statistics for fractional Brownian motion
• Extremes of threshold-dependent Gaussian processes
• Piterbarg theorems for chi-processes with trend
• Extremes ofγ-reflected Gaussian processes with stationary increments
• Approximation of passage times of \(\gamma\)-reflected processes with FBM input
• On the speed of convergence of Piterbarg constants

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