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

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:446

Article

Bai, Long¹ 

[1] Univ Lausanne, Dept Actuarial Sci, UNIL Dorigny, CH-1015 Lausanne, Switzerland

关键词: Fractional Brownian motion;    alpha(t)-locally stationary;    Pickands constants;    Gaussian process;   

DOI  :  10.1016/j.jmaa.2016.08.056

来源: Elsevier

【 摘 要 】

With motivation from [9], in this paper we derive the exact tail asymptotics of alpha(t)-locally stationary Gaussian processes with non-constant variance functions. We show that some certain variance functions lead to qualitatively new results. (C) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

Free