메뉴 건너뛰기




Volumn 50, Issue 2, 2006, Pages 290-298

Some properties of generalized pickands constants

Author keywords

Exact asymptotics; Extremes; Fractional Brownian motion; Gaussian process; Generalized Pickands constants

Indexed keywords


EID: 33746034156     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0040585X97981755     Document Type: Article
Times cited : (3)

References (7)
  • 2
    • 0036162320 scopus 로고    scopus 로고
    • Ruin probabilities for Gaussian integrated processes
    • K. DȨBICKI, Ruin probabilities for Gaussian integrated processes, Stochastic Process. Appl., 98 (2002), pp. 151-174.
    • (2002) Stochastic Process. Appl. , vol.98 , pp. 151-174
    • Dȩbicki, K.1
  • 3
    • 0042919452 scopus 로고    scopus 로고
    • Simulation of the asymptotic constant in some fluid models
    • K. DȨBICKI, Z. MICHNA, AND T. ROLSKI, Simulation of the asymptotic constant in some fluid models, Stoch. Models, 19 (2003), pp. 407-423.
    • (2003) Stoch. Models , vol.19 , pp. 407-423
    • Dȩbicki, K.1    Michna, Z.2    Rolski, T.3
  • 4
    • 0009695549 scopus 로고    scopus 로고
    • On tail probabilities and first passage times for fractional Brownian motion
    • Z. MICHNA, On tail probabilities and first passage times for fractional Brownian motion, Math. Methods Oper. Res., 49 (1999), pp. 335-354.
    • (1999) Math. Methods Oper. Res. , vol.49 , pp. 335-354
    • Michna, Z.1
  • 5
    • 84968505292 scopus 로고
    • Asymptotic properties of the maximum in a stationary Gaussian process
    • J. PICKANDS, III, Asymptotic properties of the maximum in a stationary Gaussian process, Trans. Amer. Math. Soc., 145 (1969), pp. 75-86.
    • (1969) Trans. Amer. Math. Soc. , vol.145 , pp. 75-86
    • Pickands III, J.1
  • 7
    • 21344466480 scopus 로고    scopus 로고
    • Bounds and estimators of a basic constant in extreme value theory of Gaussian processes
    • Q. SHAO, Bounds and estimators of a basic constant in extreme value theory of Gaussian processes, Statist. Sinica, 6 (1996), pp. 245-257.
    • (1996) Statist. Sinica , vol.6 , pp. 245-257
    • Shao, Q.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.