High Excursions of Gaussian Nonstationary Processes in Discrete Time
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DOI: 10.1007/s10958-021-05276-8
Abstract: 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.… read more here.
Keywords: discrete time; time; processes discrete; gaussian nonstationary ... See more keywords
High excursions of Bessel and related random processes
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DOI: 10.1016/j.spa.2020.02.002
Abstract: Abstract 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… read more here.
Keywords: bessel related; high excursions; related random; excursions bessel ... See more keywords