ASYMPTOTICS OF MAXIMA OF STRONGLY DEPENDENT GAUSSIAN PROCESSES

被引：0
|
作者：
Tan, Zhongquan [1 ]
Hashorva, Enkelejd [2 ]
Peng, Zuoxiang [3 ]
机构：
[1] Soochow Univ, Suzhou, Peoples R China
[2] Univ Lausanne, Dept Actuarial Sci, Fac Business & Econ, CH-1015 Lausanne, Switzerland
[3] Southwest Univ, Sch Math & Stat, Chongqing 400715, Peoples R China
来源：
JOURNAL OF APPLIED PROBABILITY | 2012年 / 49卷 / 04期
基金：
中国国家自然科学基金; 瑞士国家科学基金会; 美国国家科学基金会;
关键词：
Stationary Gaussian process; strong dependence; Berman's condition; limit theorem; Pickands' constant; LINEAR-APPROXIMATION; EXTREMES;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let {X-n(t), t is an element of [0, infinity)}, n is an element of N, be standard stationary Gaussian processes. The limit distribution of sup(t is an element of[0,T(n)]) vertical bar X-n(t)vertical bar is established as r(n)(t), the correlation function of [X-n(t), t is an element of [0, infinity)}, n is an element of N, which satisfies the local and long-range strong dependence conditions, extending the results obtained in Seleznjev (1991).
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页码：1106 / 1118
页数：13
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