On extremal behavior of Gaussian chaos
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Publication:393865
DOI10.1134/S1064562413050220zbMath1416.60046OpenAlexW2017788954MaRDI QIDQ393865
Enkelejd Hashorva, Vladimir I. Piterbarg, Dmitrii Korshunov
Publication date: 24 January 2014
Published in: Doklady Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s1064562413050220
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)
Related Items (12)
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 ⋮ Method of Moments for Exit Probabilities of Gaussian Vector Processes From a Large Region ⋮ Extremes of aggregated Dirichlet risks ⋮ Asymptotic expansion of Gaussian chaos via probabilistic approach ⋮ Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process ⋮ High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach ⋮ On the asymptotic Laplace method and its application to random chaos ⋮ On Probability of High Extremes for Product of Two Gaussian Stationary Processes ⋮ On probability of high extremes for product of two independent Gaussian stationary processes
Cites Work
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- A formula for the tail probability of a multivariate normal distribution and its applications
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- High excursions for nonstationary generalized chi-square processes
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Lectures on Gaussian Processes
- Tail probabilities for weighted sums of products of normal random variables
- Tail and moment estimates for some types of chaos
- A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables
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