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Cox limit theorem for large excursions of a norm of a Gaussian vector process

Author

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  • Stamatovic, Biljana
  • Stamatovic, Sinisa

Abstract

Cox limit theorem for a number of large excursions (a-points) of a norm of a Gaussian vector process with stationary, centered and i.i.d. components is established.

Suggested Citation

  • Stamatovic, Biljana & Stamatovic, Sinisa, 2010. "Cox limit theorem for large excursions of a norm of a Gaussian vector process," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1479-1485, October.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:19-20:p:1479-1485
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    Cited by:

    1. Xiao, Jinghong & Wen, Yuechun & Tan, Zhongquan, 2019. "The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 38-46.
    2. Andriy Olenko & Dareen Omari, 2020. "Reduction Principle for Functionals of Vector Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 573-598, June.
    3. Tan, Zhongquan & Hashorva, Enkelejd, 2013. "Exact asymptotics and limit theorems for supremum of stationary χ-processes over a random interval," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 2983-2998.
    4. Zhongquan Tan & Changchun Wu, 2014. "Limit laws for the maxima of stationary chi-processes under random index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(4), pages 769-786, December.

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