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On the rate of concentration of maxima in Gaussian arrays
Recently in Gao and Stoev (
2020 ) it was established that the concentration of maxima phenomenon is the key to solving the exact sparse support... -
On Generalized Berman Constants
Considering the important role in Gaussian related extreme value topics, we evaluate the Berman constants involved in the study of the sojourn time...
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On Exact and Asymptotic Formulas for the Distribution of the Integral of a Squared Brownian Motion with Drift
The aim of this paper is to derive a set of easily implementable formulas regarding the probability distribution of the integral of a squared...
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On maximum of Gaussian random field having unique maximum point of its variance
Gaussian random fields on Euclidean spaces whose variances reach their maximum values at unique points are considered. Exact asymptotic behaviors of...
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Extremes of stationary random fields on a lattice
Extremal behavior of stationary Gaussian sequences/random fields is widely investigated since it models common cluster phenomena and brings a bridge...
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Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic...
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The Joint Distribution of Running Maximum of a Slepian Process
Consider the Slepian process S defined by S ( t ) = B ( t + 1) − B ( t ), t ∈ [0, 1] with B ( t ), t ∈ ℝ a standard Brownian motion. In this contribution we...
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Central Limit Theorems for Conditional Empirical and Conditional U-Processes of Stationary Mixing Sequences
In this paper we are concerned with the weak convergence to Gaussian processes of conditional empirical processes and conditional U -processes from...
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Approximation of Sojourn Times of Gaussian Processes
We investigate the tail asymptotic behavior of the sojourn time for a large class of centered Gaussian processes X , in both continuous- and...
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Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes
The problem of escape times from a region confined by two time-dependent boundaries is considered for a class of Gauss-Markov processes. Asymptotic...
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Valuing equity-indexed annuities with icicled barrier options
Inspired by the recent popularity of autocallable structured products, this paper intends to enhance equity-indexed annuities (EIAs) by introducing a...
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Bayesian Approach to Hurst Exponent Estimation
Fractal investigation of a signal often involves estimating its fractal dimension or Hurst exponent H when considered as a sample of a fractional...
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Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
We first study the drift parameter estimation of the fractional Ornstein-Uhlenbeck process (fOU) with periodic mean for every ½ < H < 1. More...
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Procrustes Metrics on Covariance Operators and Optimal Transportation of Gaussian Processes
Covariance operators are fundamental in functional data analysis, providing the canonical means to analyse functional variation via the celebrated...
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Spatial Expectile Predictions for Elliptical Random Fields
In this work, we consider an elliptical random field. We propose some spatial expectile predictions at one site given observations of the field at...