High Excursions of a Quadratic form for a Gaussian Stationary Vector Process
نویسندگان
چکیده
Exact asymptotic behavior is given for high excursion probabilities of a quadratic form zero-mean Gaussian stationary vector process with Pickands’ type covariance matrix in the vicinity zero. The case positive maximum eigenvalue order 1 considered.
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ژورنال
عنوان ژورنال: Journal of Mathematical Sciences
سال: 2022
ISSN: ['1072-3374', '1573-8795']
DOI: https://doi.org/10.1007/s10958-022-05829-5