How to cite item

On Clusters of High Extremes of Gaussian Stationary Processes with $\varepsilon$-Separation

   
@article{EJP828,
	author = {Juerg Huesler and Anna Ladneva and Vladimir Piterbarg},
	title = {On Clusters of High Extremes of Gaussian Stationary Processes with $\varepsilon$-Separation},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {15},
	year = {2010},
	keywords = {Gaussian process; extreme values; clusters; separated clusters; asymptotic behavior; correlation function},
	abstract = {The clustering of extremes values of a stationary Gaussian process $X(t),t\in[0,T]$ is considered, where at least two time points of extreme values above a high threshold are separated by at least a small positive value $\varepsilon$. Under certain assumptions on the correlation function of the process, the asymptotic behavior of the probability of such a pattern of  clusters of exceedances  is derived exactly where the level to be exceeded by the extreme values, tends to $\infty$. The excursion behaviour of the paths in such an event  is almost deterministic and does not depend on the high level $u$. We discuss the pattern and the asymptotic probabilities of such clusters of exceedances.},
	pages = {no. 59, 1825-1862},
	issn = {1083-6489},
	doi = {10.1214/EJP.v15-828},    
        url = {http://ejp.ejpecp.org/article/view/828}}