High excursions for nonstationary generalized chi-square processes

V. I. Piterbarg

Stochastic Processes and their Applications, 1994, vol. 53, issue 2, 307-337

Abstract: Suppose that X(t), t[set membership, variant][0, T], is a centered differentiable Gaussian random process, X1(t), ..., Xn(t) are independent copies of X(t). An exact asymptotic behavior of large deviation probabilities for the process , where b1, b2, ... bn are positive constants is investigated. It is assumed that the variance of the process attains its global maximum in only one inner point of the interval [0, T], with a nondegeneracy condition.

Keywords: Extreme; values; Crossings; Gaussian; fields; Chi-square; processes (search for similar items in EconPapers)
Date: 1994
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