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Fundamentalnaya i Prikladnaya Matematika, 2020, Volume 23, Issue 1, Pages 123–144
(Mi fpm1870)
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High excursions of a quadratic form for a Gaussian stationary vector process
A. I. Zhdanov Lomonosov Moscow State University, Moscow, Russia
Abstract:
Exact asymptotic behavior is given for high excursion probabilities of a quadratic form for a zero-mean Gaussian stationary vector process with Pickands' type covariance matrix in the vicinity of zero. The case of a quadratic form with a positive maximum eigenvalue of order 1 is considered.
Citation:
A. I. Zhdanov, “High excursions of a quadratic form for a Gaussian stationary vector process”, Fundam. Prikl. Mat., 23:1 (2020), 123–144; J. Math. Sci., 262:4 (2022), 476–492
Linking options:
https://www.mathnet.ru/eng/fpm1870 https://www.mathnet.ru/eng/fpm/v23/i1/p123
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