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Fundamentalnaya i Prikladnaya Matematika, 2020, Volume 23, Issue 1, Pages 123–144 (Mi fpm1870)  

High excursions of a quadratic form for a Gaussian stationary vector process

A. I. Zhdanov

Lomonosov Moscow State University, Moscow, Russia
References:
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.
English version:
Journal of Mathematical Sciences (New York), 2022, Volume 262, Issue 4, Pages 476–492
DOI: https://doi.org/10.1007/s10958-022-05829-5
Document Type: Article
UDC: 519.21
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Zhd20}
\by A.~I.~Zhdanov
\paper High excursions of a~quadratic form for a~Gaussian stationary vector process
\jour Fundam. Prikl. Mat.
\yr 2020
\vol 23
\issue 1
\pages 123--144
\mathnet{http://mi.mathnet.ru/fpm1870}
\transl
\jour J. Math. Sci.
\yr 2022
\vol 262
\issue 4
\pages 476--492
\crossref{https://doi.org/10.1007/s10958-022-05829-5}
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