Extremes of Shepp statistics for the Wiener process
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Publication:2271712
DOI10.1007/s10687-008-0061-7zbMath1199.60189OpenAlexW2059474149MaRDI QIDQ2271712
Publication date: 8 August 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-008-0061-7
extreme valuesasymptotic behaviourlarge deviationslimit theoremsGumbel lawShepp statisticsdistribution tailweak theoremsHigh level excursionsWiener process increments
Gaussian processes (60G15) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)
Related Items (10)
Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Extremes of a class of nonhomogeneous Gaussian random fields ⋮ Extremes of Shepp statistics for Gaussian random walk ⋮ Large deviations of Shepp statistics for fractional Brownian motion ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ Split invariance principles for stationary processes ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Extremes of Shepp statistics for the Wiener process ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
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- How big are the increments of a Wiener process?
- Extremes of Shepp statistics for the Wiener process
- An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments
- Upcrossing Probabilities for Stationary Gaussian Processes
- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
- Unified Limit Theorems for Increments of Processes with Independent Increments
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