On the probability of simultaneous extremes of two Gaussian nonstationary processes

被引：3

作者：

Anshin, A. B. ^{[1
]}

机构：

[1] MSU, Lab Math Stat, Moscow 119992, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2006年 / 50卷 / 03期

关键词：

Gaussian nonstationary processes; extremum; double sum method;

D O I：

10.1137/S0040585X97981809

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：

This paper deals with the probability of simultaneous extremes of two Gaussian nonstationary processes P{max(t is an element of[0,T]) X-1(t) > u, max(s is an element of[0,T]) X-2(s) > u}. The exact asymptotic representation for the probability is found as u -> infinity. The main tool for finding the asymptotics is a development of the double sum method.

引用

页码：353 / 366

页数：14

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