High excursions of a quadratic form for a Gaussian stationary vector process

DOI10.1007/s10958-022-05829-5zbMath1487.60081OpenAlexW4281388744MaRDI QIDQ2671958

A. I. Zhdanov

Publication date: 7 June 2022

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-022-05829-5

zbMATH Keywords

Gaussian stationary vector processPickands' type covariance matrix

Mathematics Subject Classification ID

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

Cites Work

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• High extrema of Gaussian chaos processes
• On extremal behavior of Gaussian chaos
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• On the asymptotic Laplace method and its application to random chaos
• High excursions for nonstationary generalized chi-square processes
• On probability of high extremes for product of two independent Gaussian stationary processes
• Extremes and limit theorems for difference of chi-type processes
• Limit Theorem for High Levela-Upcrossings by $\chi$-Process
• High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach

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