Extremes of Gaussian processes, on results of Piterbarg and Seleznjev

J. Hüsler

Statistics & Probability Letters, 1999, vol. 44, issue 3, 251-258

Abstract: For a particular sequence of Gaussian processes we consider the maximum Mn(T) up to time T and its limiting behaviour as T=T(n) and n converges to [infinity]. This sequence occurs in the approximation of the path of the continuous Gaussian process by broken lines. This limiting behaviour was analyzed by Piterbarg and Seleznjev assuming certain conditions. We improve their result assuming a weaker long-range dependence condition.

Keywords: Gaussian; processes; Maxima; Extreme; values; Exceedances; Poisson; point; process; Berman's; condition (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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