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Gaussian process Logarithmic asymptotics Extremes 1
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Debicki, K. 1 Kosinski, K.M. 1 Mandjes, M. 1 Rolski, T. 1
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Stochastic Processes and their Applications 1
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Extremes of multidimensional Gaussian processes
Debicki, K.; Kosinski, K.M.; Mandjes, M.; Rolski, T. - In: Stochastic Processes and their Applications 120 (2010) 12, pp. 2289-2301
This paper considers extreme values attained by a centered, multidimensional Gaussian process X(t)=(X1(t),...,Xn(t)) minus drift d(t)=(d1(t),...,dn(t)), on an arbitrary set T. Under mild regularity conditions, we establish the asymptotics of for positive thresholds qi0, i=1,...,n and...
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