Extremes of Gaussian processes over an infinite horizon
Dieker, A.B. (2005) Extremes of Gaussian processes over an infinite horizon. Stochastic Processes and Their Applications, 115 (2). pp. 207-248. ISSN 0304-4149
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|Abstract:||Consider a centered separable Gaussian process with a variance function that is regularly varying at infinity with index Let be a ‘drift’ function that is strictly increasing, regularly varying at infinity with index and vanishing at the origin. Motivated by queueing and risk models, we investigate the asymptotics for of the probability
To obtain the asymptotics, we tailor the celebrated double sum method to our general framework. Two different families of correlation structures are studied, leading to four qualitatively different types of asymptotic behavior. A generalized Pickands’ constant appears in one of these cases.
Our results cover both processes with stationary increments (including Gaussian integrated processes) and self-similar processes.
|Copyright:||© 2005 Elsevier|
Electrical Engineering, Mathematics and Computer Science (EEMCS)
|Link to this item:||http://purl.utwente.nl/publications/70162|
|Export this item as:||BibTeX|
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