Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes

Extremes

Volumn 7, Issue 2, 2004, Pages 179-190

  Husler J ^a  

^a UNIVERSITY OF BERN   (Switzerland)

Author keywords

Continuous time process; Dependence; Discrete time process; Extreme values; Gaussian processes; Local stationarity; Maximum

Indexed keywords

EID: 29144481588     PISSN: 13861999     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10687-005-6199-7     Document Type: Article

References (7)

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4. Hüsler, J., "Extreme values and high boundary crossings for locally stationary Gaussian processes," Ann. Probab. 18(1990), 1141-1158, (1990).
5. Leadbetter, M.R., Lindgren, G. and Rootzén, H., Extremes and Related Properties of Random Sequences and Processes. Series in Statistics, Springer, New York, 1983.
6. Pickands, J., III, "Asymptotic properties of the maximum in a stationary Gaussian process," Trans. Am. Math. Soc. 145, 75-86, (1969).
7. Piterbarg, V., "Discrete and continuous time extremes of Gaussian processes," Extremes 7, 161-177, (2004).