Limit theorems for supremum of Gaussian processes over a random interval

被引：0

作者：

LIN Fu-ming ^{[1
,2
]}

PENG Zuo-xiang ^{[3
]}

机构：

[1] School of Statistics and Management, Shanghai University of Finance and Economics

[2] School of Mathematics and Statistics, Sichuan University of Science & Engineering

[3] School of Mathematics and Statistics, Southwestern University

来源：

Applied Mathematics:A Journal of Chinese Universities | 2018年 / 33卷 / 03期

关键词：

stationary Gaussian process; supremum of a process; regularly varying functions; random intervals;

D O I：

暂无

中图分类号：

O211.6 [随机过程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let {X（t）, t ≥ 0} be a centered stationary Gaussian process with correlation r（t）such that 1-r（t） is asymptotic to a regularly varying function. With T being a nonnegative random variable and independent of X（t）, the exact asymptotics of P(sup;X（t） > x) is considered, as x →∞.

引用

页码：335 / 343

页数：9

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