Zobrazeno 1 - 10 of 113 pro vyhledávání: '"Vladimir I. Piterbarg"'
1
High Excursions of Gaussian Nonstationary Processes in Discrete Time
Autor: I. A. Kozik, Vladimir I. Piterbarg
Publikováno v: Journal of Mathematical Sciences. 253:867-874
Exact asymptotic behavior is given for high excursion probabilities of Gaussian processes in discrete time as the corresponding lattice pitch unboundedly decreases. The proximity of the asymptotic behavior to that in continuous time is discussed. Exa
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e46aaa18530587e84e32d1f07180aeaf
https://doi.org/10.1007/s10958-021-05276-8
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2
Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
Autor: Valentin Konakov, Vladimir Panov, Vladimir I. Piterbarg
Publikováno v: Extremes. 24:617-651
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. We focus on the case when the processes have finite number of poi
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::550b7c48ef4fdf20136e4db556cff927
https://doi.org/10.1007/s10687-020-00402-2
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4
High excursions of Bessel and related random processes
Autor: Igor Rodionov, Vladimir I. Piterbarg
Publikováno v: Stochastic Processes and their Applications. 130:4859-4872
Asymptotic behavior of large excursions probabilities is evaluated for Euclidean norm of a wide class of Gaussian non-stationary vector processes with independent identically distributed components. It is assumed that the components have means zero a
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ba1d6d3998599f09a623b99e8f0a7795
https://doi.org/10.1016/j.spa.2020.02.002
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5
On maximum of Gaussian random field having unique maximum point of its variance
Autor: Vladimir I. Piterbarg, Sergey Kobelkov
Publikováno v: Extremes. 22:413-432
Gaussian random fields on Euclidean spaces whose variances reach their maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximum of theirs trajectories have been evaluated using Double Sum M
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0e1fe16db678f68641ca6256eb685e62
https://doi.org/10.1007/s10687-019-00346-2
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7
Method of Moments for Exit Probabilities of Gaussian Vector Processes From a Large Region
Autor: A. O. Kleban, Vladimir I. Piterbarg
Publikováno v: Theory of Probability & Its Applications. 63:545-555
Asymptotic behavior of the exit probability from homothetically unboundedly expanding region is evaluated for twice continuously differentiable stationary Gaussian vector processes. The evaluation ...
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5197444239c2c87efb0a44730f16a1ff
https://doi.org/10.1137/s0040585x97t989246
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8
Massive Excursions of Gaussian Isotropic Fields. Method of Moments
Autor: Vladimir I. Piterbarg
Publikováno v: Theory of Probability & Its Applications. 63:193-208
The asymptotic behavior of probability of large massive excursions above a high level is evaluated for Gaussian isotropic twice differentiable Gaussian fields. A massive excursion is the excursion ...
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::589a2817a6389583f5bebea4b0ce213e
https://doi.org/10.1137/s0040585x97t989003
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