On generalised Piterbarg constants
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Publication:1703023
DOI10.1007/s11009-016-9537-0zbMath1390.60133OpenAlexW2571334175MaRDI QIDQ1703023
Li Luo, Enkelejd Hashorva, Long Bai, Krzysztof Dȩbicki
Publication date: 1 March 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-016-9537-0
Gaussian processextremesPickands constantsexact asymptoticsBrown-Resnick stationarityPiterbarg constants
Related Items (20)
Extremes of threshold-dependent Gaussian processes ⋮ Extremes of vector-valued Gaussian processes with trend ⋮ Extremes of Gaussian chaos processes with trend ⋮ Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ Extremes of Lp-norm of vector-valued Gaussian processes with trend ⋮ Approximation of sojourn times of Gaussian processes ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ Estimation of change-point models ⋮ On the speed of convergence of Piterbarg constants ⋮ On generalized Berman constants ⋮ Approximation of ruin probability and ruin time in discrete Brownian risk models ⋮ Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Extremes of standard multifractional Brownian motion ⋮ Tail asymptotic behavior of the supremum of a class of chi-square processes ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Extremes of spherical fractional Brownian motion ⋮ The time of ultimate recovery in Gaussian risk model ⋮ Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
Uses Software
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