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 →∞.
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页码：335 / 343
页数：9
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