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In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. Unlike previously known facts in this field, our main…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. Algorithms are proposed to detect changes in such i.p.i.d.…
In this paper we study the asymptotic behaviour of empirical processes when parameters are estimated, assuming that the underlying sequence of random variables is long-range dependent. We show completely different phenomena compared to…
We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on $m$-dependent approximation for stationary processes and a moderate deviation result.
Observing a load process above high thresholds, modeling it as a pulse process with random occurrence times and magnitudes, and extrapolating life-time maximum or design loads from the data is a common task in structural reliability…
In this paper, we study the asymptotic behavior of supremum distribution of some classes of iterated stochastic processes $\{X(Y(t)) : t \in [0, \infty)\}$, where $\{X(t) : t \in \mathbb{R} \}$ is a centered Gaussian process and $\{Y(t): t…
We consider point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the…
In this paper we characterize the limiting behavior of sums of extreme values of long range dependent sequences defined as functionals of linear processes with finite variance. The extremal sums behave completely different by compared to…
In this paper we present the distribution of the maximum of the asymmetric telegraph process in an arbitrary time interval $[0,t]$ under the conditions that the initial velocity $V(0)$ is either $c_1$ or $-c_2$ and the number of changes of…
We investigate the behavior of the periods and border lengths of random words over a fixed alphabet. We show that the asymptotic probability that a random word has a given maximal border length $k$ is a constant, depending only on $k$ and…
We propose a coefficient that measures the dependence among large values for spatial processes of maxima. Its main properties are: a) $k$ locations can be taken into account; b) it takes values in $[0,1]$ and higher values indicate stronger…
Gaussian random fields on Euclidean spaces whose variances reach their maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximum of theirs trajectories have been evaluated using…
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have…
We study the supremum of some random Dirichlet polynomials with independent coefficients and obtain sharp upper and lower bounds for supremum expectation thus extending the results from our previous work (see…
The asymptotic results that underlie applications of extreme random fields often assume that the variables are located on a regular discrete grid, identified with $\mathbb{Z}^2$, and that they satisfy stationarity and isotropy conditions.…
Delattre et al. (2013) investigated asymptotic properties of the maximum likelihood estimator of the population parameters of the random effects associated with n independent stochastic differential equations (SDEs) assuming that the SDEs…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied. Local asymptotic normality, local asymptotic mixed normality, periodic local…
Let $M_n$ be the maximum of $n$ zero-mean gaussian variables $X_1,..,X_n$ with covariance matrix of minimum eigenvalue $\lambda$ and maximum eigenvalue $\Lambda$. Then, for $n \ge 70$, $$\Pr\{M_n \ge \lambda \left (2 \log n - 2.5 - \log(2…
We study the asymptotic behavior of the maximal in-degree in the spatial preferential attachment model with a choice-based edge step. We prove different types of behavior of maximal in-degree based on the model's parameters.