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Extreme values of the cyclostationary Gaussian random process

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

D. G. Konstant  and
V.I. Piterbarg
D. G. Konstant
Affiliation:
National Technical University, Athens
V.I. Piterbarg*
Affiliation:
Moscow State University
*
∗∗ Postal address: Department of Probability Theory, Faculty of Mathematics (MexMat), Moscow State University (MGU), Moscow 117234, Russia.
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Abstract

In this paper the class of cyclostationary Gaussian random processes is studied. Basic asymptotics are given for the class of Gaussian processes that are centered and differentiable in mean square. Then, under certain conditions on the non-degeneration of the centered cyclostationary Gaussian process with integrable covariance functions, the Gnedenko-type limit formula is established for and all x > 0.

Keywords

PERIODICALLY CORRELATED PROCESSLARGE DEVIATIONS

MSC classification

Primary: 60G70: Extreme value theory; extremal processes
Secondary: 60G17: Sample path properties
Type
Research Papers
Information
Journal of Applied Probability , Volume 30 , Issue 1 , March 1993 , pp. 82 - 97
Copyright
Copyright © Applied Probability Trust 1993 

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Footnotes

∗

Present address: Department of Mathematics, Technical University of Crete, Chania 73100, Greece.

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