Extremes of the time-average of stationary Gaussian processes

Krzysztof De[combining cedilla]bicki, and Kamil Tabis

Stochastic Processes and their Applications, 2011, vol. 121, issue 9, 2049-2063

Abstract: We study the exact asymptotics of , as u-->[infinity], where and {Z(t):t>=0} is a centered stationary Gaussian process with covariance function satisfying some regularity conditions. As an application, we analyze the probability of buffer emptiness in a Gaussian fluid queueing system and the collision probability of differentiable Gaussian processes with stationary increments. Additionally, we find estimates for analogues of Piterbarg-Prisyazhnyuk constants, that appear in the form of the considered asymptotics.

Keywords: Asymptotics; Extremes; Gaussian; process (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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