Extremes of Gaussian chaos processes with trend

被引：1

作者：

Bai, Long ^{[1
,2
]}

机构：

[1] Xian Jiaotong Liverpool Univ, Dept Math Sci, Suzhou 215123, Peoples R China

[2] Univ Lausanne, Dept Actuarial Sci, UNIL Dorigny, CH-1015 Lausanne, Switzerland

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2019年 / 473卷 / 02期

基金：

瑞士国家科学基金会;

关键词：

Gaussian chaos; Gaussian vector processes; Asymptotic methods; Pickands constant; PROBABILITY; CONSTANTS;

D O I：

10.1016/j.jmaa.2019.01.026

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Let X(t) (X-1 (t), ..., X-d(t)), t is an element of [0, S] be a Gaussian vector process and let g(x), x is an element of R-d be a continuous homogeneous function. We are concerned with the exact tail asymptotic of the chaos process g(X(t)), t is an element of [0, S] with a trend function h(t). Both scenarios X(t) is locally-stationary and X(t) is non-stationary are considered. Important examples include the product of Gaussian processes and chi-processes. (C) 2019 Elsevier Inc. All rights reserved.

引用

页码：1358 / 1376

页数：19

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