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A note on LDP for supremum of Gaussian processes over infinite horizon

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  • Debicki, Krzysztof

Abstract

The aim of this paper is to give a short proof of a large deviation result for supremum of nencentered Gaussian process over infinite horizon. We study family {[mu]X,d;u; u>0} of Borel probability measures on , wherefor Borel , drift function d(t) and centered Gaussian processes {X(t); t[greater-or-equal, slanted]0} with variance function [sigma]2(t). We assume that for each 0 0}.

Suggested Citation

  • Debicki, Krzysztof, 1999. "A note on LDP for supremum of Gaussian processes over infinite horizon," Statistics & Probability Letters, Elsevier, vol. 44(3), pages 211-219, September.
    • Handle: RePEc:eee:stapro:v:44:y:1999:i:3:p:211-219
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    References listed on IDEAS

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    1. David Heath & Sidney Resnick & Gennady Samorodnitsky, 1998. "Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models," Mathematics of Operations Research, INFORMS, vol. 23(1), pages 145-165, February.
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