Extremes and Limit Theorems for Difference of Chi-type processes
| Autor: | Albin, P., Hashorva, E., Ji, L., Ling, C. |
|---|---|
| Rok vydání: | 2015 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | Let $\{\zeta_{m,k}^{(\kappa)}(t), t \ge0\}, \kappa>0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In applications such as physical sciences and engineering dealing with structure reliability, of interest is the approximation of the probability that the random process $\zeta_{m,k}^{(\kappa)}$ stays in some safety region up to a fixed time $T$. In this paper we derive the asymptotics of $\mathbb{P}\{\sup_{t\in[0, T]}\zeta_{m,k}^{(\kappa)}(t)> u\}, {u\to\infty}$ under some assumptions on the covariance structures of the underlying Gaussian processes. Further, we establish a Berman sojourn limit theorem and a Gumbel limit result. Comment: To appear in ESAIM P&S |
| Databáze: | arXiv |
| Externí odkaz: |
|