Article: article from journal or magazin.
Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval
Lithuanian Mathematical Journal
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.
Gaussian processes, Strong dependence, Supremum over a random interval, Exact tail asymptotics, Pickands constant
Web of science
Last modification date