Cox limit theorem for large excursions of a norm of a Gaussian vector process

DOI10.1016/J.SPL.2010.05.016MaRDI QIDQ990912zbMATHOpenAlexFDO

Authors Biljana Stamatovic, Siniša Stamatović

Publication date 1 September 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.05.016

zbMATH Keywords

Cox processlarge excursion\(a\)-pointsGaussian vector process

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Cites work

• scientific article; zbMATH DE number 3452925 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Extreme values and crossings for theX²-Process and Other Functions of Multidimensional Gaussian Processes, by Reliability Applications
• Extremes and related properties of random sequences and processes
• Gnedenko-type limit theorems for cyclostationary \(c^2\)-processes
• Limit Theorem for High Levela-Upcrossings by $\chi$-Process
• On extremal theory for stationary processes
• Sojourns and extremes of stationary processes

Cited in

(8)

• Asymptotics of maxima of strongly dependent Gaussian processes
• Reduction principle for functionals of vector random fields
• The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models
• Limit laws for the maxima of stationary chi-processes under random index
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
• Extremes values of discrete and continuous time strongly dependent Gaussian processes

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