The supremum of a Gaussian process over a random interval
Year: 2002
Type: other
Abstract: Brownian motion; Gaussian process; regular variation; he paper is concerned with the supremum of a centered Gaussian process with stationary increments over a random interval. The main result provides the exact asymptotics of the tail of the supremum distribution in the case that the length of the interval is regularly varying. In addition, we obtain explicit lower and upper bounds for the prefactor.
Authors: Krzystof Debicki, Bert Zwart, Sem Borst
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2525601192