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A New Proof of an O...
A New Proof of an Old Result by Pickands
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- Albin, Patrik, 1960 (author)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics,University of Gothenburg,Chalmers tekniska högskola,Chalmers University of Technology
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Choi, H. (author)
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(creator_code:org_t)
- 2010
- 2010
- English.
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In: Electronic Communications in Probability. - 1083-589X. ; 15, s. 339-345
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Abstract
Subject headings
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- Let {xi(t)}(t is an element of[0,h]) be a stationary Gaussian process with covariance function r such that r(t) = 1 - C vertical bar t vertical bar(alpha) + o(vertical bar t vertical bar(alpha)) as t -> 0. We give a new and direct proof of a result originally obtained by Pickands, on the asymptotic behaviour as u -> infinity of the probability P{sup(t is an element of vertical bar 0,h vertical bar) xi(t) > u} that the process xi exceeds the level u. As a by-product, we obtain a new expression for Pickands constant H alpha
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Stationary Gaussian process
- Pickands constant
- extremes
- asymptotic properties
- stationary-processes
- gaussian process
- tails
- asymptotic properties
Publication and Content Type
- ref (subject category)
- art (subject category)
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