Extremes and limit theorems for difference of chi-type processes
Détails
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Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
ID Serval
serval:BIB_61AC99ED89F0
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extremes and limit theorems for difference of chi-type processes
Périodique
ESAIM: Probability and Statistics
ISSN
1292-8100 (Print)
1262-3318 (Electronic)
1262-3318 (Electronic)
Statut éditorial
Publié
Date de publication
2016
Peer-reviewed
Oui
Volume
20
Pages
349-366
Langue
anglais
Résumé
Let {zeta((k))(m,k) (t), t >= 0}, k > 0 be random processes defined as the differences of two independent stationary chi-type processes with m and k degrees of freedom. In this paper we derive the asymptotics P{sup(t is an element of[0,T]) zeta((k))(m,k)(t) > u}, u -> infinity under some assumptions on the covariance structures of the underlying Gaussian processes. Further, we establish a Berman sojourn limit theorem and a Gumbel limit result.
Mots-clé
Stationary Gaussian process, stationary chi-type process, extremes, Berman sojourn limit theorem, Gumbel limit theorem, Berman's condition
Web of science
Création de la notice
15/07/2016 8:48
Dernière modification de la notice
20/08/2019 14:18