High Excursions of a Quadratic form for a Gaussian Stationary Vector Process

Exact asymptotic behavior is given for high excursion probabilities of a quadratic form for a zero-mean Gaussian stationary vector process with Pickands’ type covariance matrix in the vicinity of zero. The case of a quadratic form with a positive maximum eigenvalue of order 1 is considered. © 2022, Springer Science+Business Media, LLC, part of Springer Nature.