A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process

• Autorzy: Karagodin Nikita

Identyfikatory

DOI

10.37190/0208-4147.00043

• Języki publikacji: EN

Abstrakty

EN

We prove the convergence of the distribution of the scaled last exit time over a slowly moving nonlinear boundary for a class of Gaussian stationary processes. The limit is a double exponential (Gumbel) distribution.

Słowa kluczowe

EN

last exit time; nonlinear boundary; Gaussian process; limit theorem; double exponential law

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2022
• Tom: Vol. 42, Fasc. 2
• Strony: 195--217
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Karagodin Nikita

Bibliografia

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