Polynomial Pickands functions
نویسندگان
چکیده
منابع مشابه
Generalized Pickands Constants
Pickands constants play an important role in the exact asymptotic of extreme values for Gaussian stochastic processes. By the generalized Pickands constant Hη we mean the limit Hη = lim T→∞ Hη(T ) T , where Hη(T ) = IE exp ( maxt∈[0,T ] (√ 2η(t)− σ2 η(t) )) and η(t) is a centered Gaussian process with stationary increments and variance function σ2 η(t). Under some mild conditions on σ2 η(t) we ...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2016
ISSN: 1350-7265
DOI: 10.3150/14-bej656