Extremes of Gaussian processes, on results of Piterbarg and Seleznjev

被引：12
|
作者：
Hüsler, J [1 ]
机构：
[1] Univ Bern, Inst Stat Math, CH-3012 Bern, Switzerland
来源：
STATISTICS & PROBABILITY LETTERS | 1999年 / 44卷 / 03期
关键词：
Gaussian processes; maxima; extreme values; exceedances; Poisson point process; Berman's condition;
D O I：
10.1016/S0167-7152(99)00016-4
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：
For a particular sequence of Gaussian processes we consider the maximum M-n(T) up to time T and its limiting behaviour as T = T(n) and n converges to oo. This sequence occurs in the approximation of the path of the continuous Gaussian process by broken lines. This limiting behaviour was analyzed by Piterbarg and Seleznjev assuming certain conditions. We improve their result assuming a weaker long-range dependence condition. (C) 1999 Elsevier Science B.V. All rights reserved.
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页码：251 / 258
页数：8
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