Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_BB0C85967FF9
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval
Périodique
Lithuanian Mathematical Journal
Auteur⸱e⸱s
Tan Z., Hashorva E.
ISSN
0363-1672
Statut éditorial
Publié
Date de publication
03/2013
Peer-reviewed
Oui
Volume
53
Numéro
1
Pages
91-102
Langue
anglais
Résumé
Let be a positive random variable independent of a real-valued stochastic process . In this paper, we investigate the asymptotic behavior of as u -> a assuming that X is a strongly dependent stationary Gaussian process and has a regularly varying survival function at infinity with index lambda a [0, 1). Under asymptotic restrictions on the correlation function of the process, we show that with some positive finite constant c and function m(center dot) defined in terms of the local behavior of the correlation function and the standard Gaussian distribution.
Mots-clé
Gaussian processes, Strong dependence, Supremum over a random interval, Exact tail asymptotics, Pickands constant
Web of science
Open Access
Oui
Création de la notice
24/10/2012 15:29
Dernière modification de la notice
20/08/2019 16:29
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