Cox limit theorem for large excursions of a norm of a Gaussian vector process

DOI10.1016/j.spl.2010.05.016zbMath1197.60038OpenAlexW2139015651MaRDI QIDQ990912

Biljana Stamatovic, Siniša Stamatović

Publication date: 1 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.05.016

zbMATH Keywords

Cox processlarge excursion\(a\)-pointsGaussian vector process

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (8)

Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes ⋮ Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval ⋮ Reduction principle for functionals of vector random fields ⋮ Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval ⋮ Asymptotics of Maxima of Strongly Dependent Gaussian Processes ⋮ The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models ⋮ Extremes Values of Discrete and Continuous Time Strongly Dependent Gaussian Processes ⋮ Limit laws for the maxima of stationary chi-processes under random index

Cites Work

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• Gnedenko-type limit theorems for cyclostationary \(c^2\)-processes
• Extreme values and crossings for theX²-Process and Other Functions of Multidimensional Gaussian Processes, by Reliability Applications
• Limit Theorem for High Levela-Upcrossings by $\chi$-Process

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