Probability tails of Gaussian extrema

DOI10.1016/0304-4149(91)90072-KzbMATH Open0728.60038OpenAlexW2070990830MaRDI QIDQ805058FDOQ805058

Authors: Gennady Samorodnitsky 

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90072-k

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zbMATH Keywords

Gaussian processBrownian bridgeisonormal processset-indexed Brownian sheet

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Order statistics; empirical distribution functions (62G30) Sample path properties (60G17)

Cites Work

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• Estimation of first crossing time distribution for N-parameter Brownian motion processes relative to upper class boundaries
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Cited In (23)

• Sojourn times of Gaussian processes with trend
• Minima of \(H\)-valued Gaussian processes
• On excursion sets, tube formulas and maxima of random fields.
• Extremes of totally skewed \(\alpha \)-stable processes
• Random conformal weldings
• Monte Carlo estimates of extremes of stationary/nonstationary Gaussian processes
• Extremes of Gaussian chaos processes with trend
• Accessing the power of tests based on set-indexed partial sums of multivariate regression residuals
• Generalized Pickands constants and stationary max-stable processes
• Harmonizable nonstationary processes
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• Gaussian-type upper bound for the evolution kernels on nilpotent meta-abelian groups
• Four finite dimensional (FD) surrogates for continuous random processes
• On covariance functions with slowly or regularly varying modulo of continuity
• Microstructure models for extreme material responses
• On extreme value theory for group stationary Gaussian processes
• Exceptional times and invariance for dynamical random walks
• Extremes of Gaussian random fields with regularly varying dependence structure
• Title not available (Why is that?)
• Extremes ofγ-reflected Gaussian processes with stationary increments
• Tail behaviour of Gaussian processes with applications to the Brownian pillow.
• Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
• Tail behaviour for the suprema of Gaussian processes with applications to empirical processes

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