Extremes of α(t)-locally stationary Gaussian processes with non-constant variances

Long Bai

doi:10.1016/j.jmaa.2016.08.056

Extremes of α(t)-locally stationary Gaussian processes with non-constant variances

Long Bai

University of Lausanne

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

With motivation from [9], in this paper we derive the exact tail asymptotics of α(t)-locally stationary Gaussian processes with non-constant variance functions. We show that some certain variance functions lead to qualitatively new results.

Original language	English
Pages (from-to)	248-263
Number of pages	16
Journal	Journal of Mathematical Analysis and Applications
Volume	446
Issue number	1
DOIs	https://doi.org/10.1016/j.jmaa.2016.08.056
Publication status	Published - 1 Feb 2017
Externally published	Yes

Keywords

Fractional Brownian motion
Gaussian process
Pickands constants
α(t)-locally stationary

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10.1016/j.jmaa.2016.08.056

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title = "Extremes of α(t)-locally stationary Gaussian processes with non-constant variances",

abstract = "With motivation from [9], in this paper we derive the exact tail asymptotics of α(t)-locally stationary Gaussian processes with non-constant variance functions. We show that some certain variance functions lead to qualitatively new results.",

keywords = "Fractional Brownian motion, Gaussian process, Pickands constants, α(t)-locally stationary",

author = "Long Bai",

note = "Publisher Copyright: {\textcopyright} 2016 Elsevier Inc.",

year = "2017",

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day = "1",

doi = "10.1016/j.jmaa.2016.08.056",

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AU - Bai, Long

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AB - With motivation from [9], in this paper we derive the exact tail asymptotics of α(t)-locally stationary Gaussian processes with non-constant variance functions. We show that some certain variance functions lead to qualitatively new results.

KW - Fractional Brownian motion

KW - Gaussian process

KW - Pickands constants

KW - α(t)-locally stationary

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U2 - 10.1016/j.jmaa.2016.08.056

DO - 10.1016/j.jmaa.2016.08.056

M3 - Article

AN - SCOPUS:84994365043

SN - 0022-247X

VL - 446

SP - 248

EP - 263

JO - Journal of Mathematical Analysis and Applications

JF - Journal of Mathematical Analysis and Applications

IS - 1

ER -

Extremes of α(t)-locally stationary Gaussian processes with non-constant variances

Abstract

Keywords

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