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Bounds and estimators of a basic constant in extreme value theory of Gaussian processes
1 references·4 citing·14 second hop
Bounds and estimators of a basic constant in extreme value theory of Gaussian processes (1996)Bounds and estimators of a basic constant…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Generalized Pickands constants and stationary max-stable processes (2017)Generalized Pickands constant…Extremes of vector-valued Gaussian processes: Exact asymptotics (2015)Extremes of vector-valued Gau…A note on upper estimates for Pickands constants (2008)A note on upper estimates for…Simulation of the Asymptotic Constant in Some Fluid Models (2003)Simulation of the Asymptotic …Sojourns and Extremes of Gaussian Processes (1974)Extremes of Gaussian processes over an infinite horizon (2004)On asymptotic constants in the theory of extremes for Gaussian processes (2014)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Theory of a Data-Handling System with Multiple Sources (1982)Brownian Motion and Stochastic Calculus (1998)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Ruin probability for Gaussian integrated processes (2002)Extremes and local dependence in stationary sequences (1983)Models for Stationary Max-Stable Random Fields (2002)Ruin Probabilities (2010)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited

Cited by

  • 2017Generalized Pickands constants and stationary max-stable processes41 cited
  • 2015Extremes of vector-valued Gaussian processes: Exact asymptotics38 cited
  • 2003Simulation of the Asymptotic Constant in Some Fluid Models36 cited
  • 2008A note on upper estimates for Pickands constants34 cited

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