Extremes of multidimensional Gaussian processes

K. Debicki, K.M. Kosinski, M. Mandjes and T. Rolski

Stochastic Processes and their Applications, 2010, vol. 120, issue 12, 2289-2301

Abstract: This paper considers extreme values attained by a centered, multidimensional Gaussian process X(t)=(X1(t),...,Xn(t)) minus drift d(t)=(d1(t),...,dn(t)), on an arbitrary set T. Under mild regularity conditions, we establish the asymptotics of for positive thresholds qi>0, i=1,...,n and u-->[infinity]. Our findings generalize and extend previously known results for the single-dimensional and two-dimensional cases. A number of examples illustrate the theory.

Keywords: Gaussian; process; Logarithmic; asymptotics; Extremes (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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