Asymptotics of maxima of strongly dependent Gaussian processes

Abstract

Let $\{X_n(t),t\in [0,\infty )\},n\in \mathbb{N}$ be a sequence of centered dependent stationary Gaussian processes. The limit distribution of ${\sup }_{t\in [0,T(n)]}|X_n(t)|$ is established as $r_n(t)$, the correlation function of $X_n$ satisfies the local and long range strong dependence conditions, which extends the results obtained by Seleznjev (1991).

11 pages

Cited by in corpus (1)

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