Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
From MaRDI portal
Publication:952738
DOI10.1016/j.spa.2007.11.010zbMath1151.60325OpenAlexW2058106343MaRDI QIDQ952738
Krzysztof Dȩbicki, Paweł Kisowski
Publication date: 14 November 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.11.010
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)
Related Items (8)
Extremes of threshold-dependent Gaussian processes ⋮ Extremes of 𝛼(𝑡)-locally stationary Gaussian random fields ⋮ Extremes of \(\alpha(t)\)-locally stationary Gaussian processes with non-constant variances ⋮ Extremes of randomly scaled Gumbel risks ⋮ Extremes of Gaussian random fields with regularly varying dependence structure ⋮ On the infimum attained by the reflected fractional Brownian motion ⋮ Extremes of standard multifractional Brownian motion ⋮ Fractional integration operators of variable order: continuity and compactness properties
Cites Work
- Unnamed Item
- Extreme values and high boundary crossings of locally stationary Gaussian processes
- Sojourns and extremes of Gaussian processes
- Elliptic Gaussian random processes
- Extremes of a certain class of Gaussian processes
- Ruin probability for Gaussian integrated processes.
- A note on extreme values of locally stationary Gaussian processes
- From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions
- On the ruin probability for physical fractional Brownian motion
- Extremes of Gaussian processes over an infinite horizon
- Upcrossing Probabilities for Stationary Gaussian Processes
This page was built for publication: Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
