Ji, L orcid.org/0000-0002-7790-7765 and Peng, X (2023) On the Maxima of Suprema of Dependent Gaussian Models. Queueing Systems: Theory and Applications, 105. pp. 99-128. ISSN 0257-0130
Abstract
In this paper, we study the asymptotic distribution of the maxima of suprema of dependent Gaussian processes with trend. For different scales of the time horizon we obtain different normalizing functions for the convergence of the maxima. The obtained results not only have potential applications in estimating the delay of certain Gaussian fork-join queueing systems but also provide interesting insights to the extreme value theory for triangular arrays of random variables with row-wise dependence.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © The Author(s). This is an author produced version of an article published in Queueing Systems. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Extreme value; Self-similarity; Gaussian processes; Fractional Brownian motion; Triangular arrays; Pickands constant; Piterbarg constant |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 01 Jun 2023 15:24 |
Last Modified: | 14 Nov 2024 10:08 |
Status: | Published |
Publisher: | Springer |
Identification Number: | 10.1007/s11134-023-09880-0 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:199793 |