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Principle Seminar of the Department of Probability Theory, Moscow State University
September 18, 2013 16:45, Moscow, MSU, auditorium 16-10
 

Предзащиты диссертаций


On shape of high excursions of Gaussian stationary processes

E. V. Kremena

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Supplementary materials:
Adobe PDF 1.2 Mb

Abstract: We investigate the shape of excursions above a high level $u$ by a stationary Gaussian process, conditioned on whether this happens in a cluster or two clusters. We focus on the shape of path after such clusters. The paths vary slightly around a deterministic trend. The probability of such events can be determined asymptotically exact for $u\rightarrow\infty$

Supplementary materials: kremena_on_shape_of_high_excursions_of_gaussian_stationary_process.pdf (1.2 Mb)
 
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