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

IF 0.4 4区数学 Q4 STATISTICS & PROBABILITY

Probability and Mathematical Statistics-Poland Pub Date : 2021-10-03 DOI:10.37190/0208-4147.00043

Nikita Karagodin

引用次数: 1

Abstract

We prove a limit theorem on the convergence of the distributions 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.

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高斯过程在移动非线性边界上最后退出时间的一个极限定理

我们证明了一类高斯平稳过程在缓慢移动的非线性边界上缩放的最后退出时间分布的收敛性的一个极限定理。极限是双指数（Gumbel）分布。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability and Mathematical Statistics-Poland STATISTICS & PROBABILITY-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.