On probability of high extremes for product of two independent Gaussian stationary processes

DOI10.1007/S10687-014-0205-XzbMath1408.60031OpenAlexW2007552303MaRDI QIDQ2340040

A. I. Zhdanov, Vladimir I. Piterbarg

Publication date: 15 April 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0205-x

zbMATH Keywords

Gaussian processesdouble sum methodGaussian chaoshigh extremes probabilities

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Other physical applications of random processes (60K40) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (8)

Extremes of Gaussian fields with a smooth random variance ⋮ High extrema of Gaussian chaos processes ⋮ Large extremes of Gaussian chaos processes ⋮ Extremes of Gaussian chaos processes with trend ⋮ High excursions of a quadratic form for a Gaussian stationary vector process ⋮ Extremes and limit theorems for difference of chi-type processes ⋮ High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach ⋮ On Probability of High Extremes for Product of Two Gaussian Stationary Processes

Cites Work

• Unnamed Item
• On extremal behavior of Gaussian chaos
• High excursions for nonstationary generalized chi-square processes
• Limit Theorem for High Levela-Upcrossings by $\chi$-Process

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