The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes

DOI10.1080/17442508.2012.756489zbMath1316.60083OpenAlexW2075068675MaRDI QIDQ2875256

Linjun Tang, Zhongquan Tan

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2012.756489

zbMATH Keywords

extreme valuesGaussian processesstationary processesstrong dependencePickands constant

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items

Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids ⋮ The limit theorems for maxima of stationary Gaussian processes with random index ⋮ Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids ⋮ On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields ⋮ Maxima and sum for discrete and continuous time Gaussian processes

Cites Work

• Unnamed Item
• Extreme values and high boundary crossings of locally stationary Gaussian processes
• An extension to a strong law result of Mittal and Ylvisaker for the maxima of stationary Gaussian processes
• Limit distributions for the maxima of stationary Gaussian processes
• Sojourns and extremes of Gaussian processes
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Discrete and continuous time extremes of Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Asymptotic distribution for the sum and maximum of Gaussian processes
• Extremes Values of Discrete and Continuous Time Strongly Dependent Gaussian Processes
• Extremes and local dependence in stationary sequences
• Asymptotic distribution of sum and maximum for Gaussian processes

This page was built for publication: The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes