Gaussian processes offer a versatile framework to model and analyse continuous random phenomena, making them particularly useful in quantifying the probability of ruin in financial and insurance ...

Let $X(t)$ be a stationary Gaussian process, $f(t)$ a continuous function, and $T$ a finite or infinite interval. This paper develops asymptotic estimates for $P(X)(t ...

This paper presents a new approach to the analysis of mixed processes $X_{t}=B_{t}+G_{t},\qquad t\in[0,T],$ where Bt is a Brownian motion and Gt is an independent ...

CATALOG DESCRIPTION: Fundamentals of random variables; mean-squared estimation; limit theorems and convergence; definition of random processes; autocorrelation and stationarity; Gaussian and Poisson ...

Herlands, William, Edward McFowland III, Andrew Gordon Wilson, and Daniel B. Neill. "Gaussian Process Subset Scanning for Anomalous Pattern Detection in Non-iid Data." Proceedings of Machine Learning ...