Extremes of α(t)-locally stationary Gaussian processes with non-constant variances
Details
Serval ID
serval:BIB_CCE384341F02
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremes of α(t)-locally stationary Gaussian processes with non-constant variances
Journal
Journal of Mathematical Analysis and Applications
ISSN
0022-247X (Print)
Publication state
Published
Issued date
2017
Peer-reviewed
Oui
Volume
446
Number
1
Pages
248-263
Language
english
Abstract
With motivation from [9], in this paper we derive the exact tail asymptotics of alpha(t)-locally stationary Gaussian processes with non-constant variance functions. We show that some certain variance functions lead to qualitatively new results.
Keywords
Fractional Brownian motion, alpha(t)-locally stationary, Pickands constants, Gaussian process
Web of science
Create date
02/09/2016 20:38
Last modification date
21/08/2019 6:14
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