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This article is cited in 6 scientific papers (total in 6 papers)
On a probability of simultaneously extremes of two Gaussian nonstationary processes
A. Anshin M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
This paper deals with the probability of simultaneous extremes of two Gaussian nonstationary processes $\mathbf{P}\bigl\{\max_{t\in[0,T]}X_1(t)>u,\ \max_{s\in[0,T]}X_2(s)>u\bigr\}$. The exact asymptotic representation for the probability is found as $u\to\infty$. The main tool for finding the asymptotics is a development of the double sum method.
Keywords:
Gaussian nonstationary processes, extremum, double sum method.
Received: 30.12.2004
Citation:
A. Anshin, “On a probability of simultaneously extremes of two Gaussian nonstationary processes”, Teor. Veroyatnost. i Primenen., 50:3 (2005), 417–432; Theory Probab. Appl., 50:3 (2006), 353–366
Linking options:
https://www.mathnet.ru/eng/tvp86https://doi.org/10.4213/tvp86 https://www.mathnet.ru/eng/tvp/v50/i3/p417
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Abstract page: | 414 | Full-text PDF : | 161 | References: | 62 |
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