Limit theorems for supremum of Gaussian processes over a random interval

被引：0
|
作者：
Fu-ming Lin
Zuo-xiang Peng
机构：
[1] Shanghai University of Finance and Economics,School of Statistics and Management
[2] Sichuan University of Science & Engineering,School of Mathematics and Statistics
[3] Southwestern University,School of Mathematics and Statistics
来源：
Applied Mathematics-A Journal of Chinese Universities | 2018年 / 33卷
关键词：
stationary Gaussian process; supremum of a process; regularly varying functions; random intervals; 60G15; 60G70;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Let {X(t), t ≥ 0} be a centered stationary Gaussian process with correlation r(t) such that 1 − r(t) is asymptotic to a regularly varying function. With T being a nonnegative random variable and independent of X(t), the exact asymptotics of P(supt∈[0,T] X(t) > x) is considered, as x → ∞.
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页码：335 / 343
页数：8
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