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On double extremes of Gaussian stationary processes

Ladneva, Anna ; Piterbarg, Vladimir

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Abstract

We consider a Gaussian stationary process with Pickands' conditions and evaluate an exact asymptotic behaviorof probability of two high extremes on two disjoint intervals

Item Type: Working paper
Journal or Publication Title: EURANDOM Reports
Series Name: EURANDOM Reports
Volume: 00-027
Number: 027
Publisher: European Institute for Statistics, Probability, Stochastic Operations Research and their Applications
Place of Publication: Eindhoven
Date Deposited: 24 May 2016 06:57
Date: 7 September 2000
ISSN: 1389-2355
Number of Pages: 19
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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