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Principle Seminar of the Department of Probability Theory, Moscow State University
September 18, 2013 16:45, Moscow, MSU, auditorium 16-10

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On shape of high excursions of Gaussian stationary processes

E. V. Kremena

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We investigate the shape of excursions above a high level $u$ by a stationary Gaussian process, conditioned on whether this happens in a cluster or two clusters. We focus on the shape of path after such clusters. The paths vary slightly around a deterministic trend. The probability of such events can be determined asymptotically exact for $u\rightarrow\infty$


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