Extremes of a certain class of Gaussian processes

Stochastic Processes and their Applications

Volumn 83, Issue 2, 1999, Pages 257-271

  Husler J ^a   Piterbarg, V ^b  

^a UNIVERSITY OF BERN   (Switzerland)

^b NONE

Author keywords

Extreme values; Fractional Brownian motions; Gaussian processes; Self similar processes

Indexed keywords

EID: 0033210499     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00041-1     Document Type: Article

References (7)

1. Bräker, H.U., 1993. High Boundary Excursions of Locally Stationary Gaussian Processes. Ph.D. Thesis, University of Bern.
2. Bräker, H.U., 1995. High boundary excursions of locally stationary Gaussian processes. Proceedings of the Conference on Extreme Value Theory and Applications, Gaithersburg, MA, vol. 3, NIST special publ. 866, 1993, pp. 69-74.
3. Geluk, J.L., de Haan, L.F.M., 1997. Stable probability and their domains of attraction. Discussion Paper TI 97-089/4, Tinbergen Institute Rotterdam.
4. Gnedenko, B.V., Korol'uk, V.S., 1950. Some remarks on the theory of domains of attraction of stable distributions (in Russian). Dokl. Akad. Nauk Ukrain. SSR 4, 275-278.
5. Leadbetter, M.R., Lindgren, G., Rootzén, H., 1983. Extremes and related properties of random sequences and processes, Springer Series in Statistics. Springer, Berlin.
6. Narayan, O., 1997. Exact Asymptotic Queue Length Distribution for Fractional Brownian Traffic. Preprint.
7. Piterbarg, V., 1996. Asymptotic methods on the theory of Gaussian processes and fields. Trans. Math. Monographs, Vol. 148. AMS, Providence, RI.