Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes

被引：20
|
作者：
Tan, Zhongquan [1 ]
Hashorva, Enkelejd [2 ]
机构：
[1] Jiaxing Univ, Coll Math Phys & Informat Engn, Jiaxing 314001, Peoples R China
[2] Univ Lausanne, Dept Actuarial Sci, Fac Business & Econ, UNIL Dorigny, CH-1015 Lausanne, Switzerland
来源：
EXTREMES | 2013年 / 16卷 / 02期
基金：
瑞士国家科学基金会;
关键词：
Gaussian process; Cyclo-stationary process; chi-process; Gumbel limit law; Limit theorem; Seleznjev pth-mean convergence theorem; Piterbarg inequality; CROSSINGS; EXCURSIONS; SOJOURNS; VALUES;
D O I：
10.1007/s10687-013-0170-9
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, with motivation from the paper of Konstant et al. (Lith Math J 44:196-208, 2004) we derive limit theorems for the maximum of strongly dependent cyclo-stationary -processes. Further, under a global Holder condition we show that Seleznjev pth-mean convergence theorem holds.
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页码：241 / 254
页数：14
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