Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2024, Number 4, Pages 21–25
DOI: https://doi.org/10.55959/MSU0579-9368-1-65-4-3 (Mi vmumm4615) 		 
Mathematics

High level exceeding probability for a Gaussian process with constant variance and variable smoothness

Ph. E. Koluzanova, V. I. Piterbargab

a Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
b National Research University Higher School of Economics, Moscow
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DOI: https://doi.org/10.55959/MSU0579-9368-1-65-4-3
Abstract: Exact asymptotic behavior is evaluated for high level exceeding probability of Gaussian process with constant variance, the correlation function of which satisfies the Pickands' condition at each point, while the constants in the condition change, being continuous functions.
Key words: Gaussian process, large excursions, Pickands' condition, double sum method.
Received: 14.06.2023
English version:
Moscow University Mathematics Bulletin, 2024, Volume 79, Issue 4, Pages 169–174
DOI: https://doi.org/10.3103/S0027132224700220
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: Ph. E. Koluzanov, V. I. Piterbarg, “High level exceeding probability for a Gaussian process with constant variance and variable smoothness”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2024, no. 4, 21–25; Moscow University Mathematics Bulletin, 79:4 (2024), 169–174
Citation in format AMSBIB
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\by Ph.~E.~Koluzanov, V.~I.~Piterbarg
\paper High level exceeding probability for a Gaussian process with constant variance and variable smoothness
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2024
\issue 4
\pages 21--25
\mathnet{http://mi.mathnet.ru/vmumm4615}
\crossref{https://doi.org/10.55959/MSU0579-9368-1-65-4-3}
\elib{https://elibrary.ru/item.asp?id=68520576}
\transl
\jour Moscow University Mathematics Bulletin
\yr 2024
\vol 79
\issue 4
\pages 169--174
\crossref{https://doi.org/10.3103/S0027132224700220}
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