Limit theorems for supremum of Gaussian processes over a random interval

DOI10.1007/S11766-018-3438-7zbMath1413.60030OpenAlexW2890937311MaRDI QIDQ1989869

Fu-ming Lin, Zuo Xiang Peng

Publication date: 29 October 2018

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-018-3438-7

zbMATH Keywords

stationary Gaussian processregularly varying functionsrandom intervalssupremum of a process

Mathematics Subject Classification ID

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

Cites Work

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• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Extremes and related properties of random sequences and processes
• The supremum of a Gaussian process over a random interval
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Fractional Laplace motion
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Asymptotic Properties of Gaussian Processes

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