Limit distribution of the sum and maximum from multivariate Gaussian sequences (Q873619): Difference between revisions

The limit joint distribution of the partial maximum and partial sum of a multivariate Gaussian sequence is studied. The maximum is taken coordinatewise. It is shown that under technical conditions on the correlation structure of the sequence the maximum and sum are asymptotically independent. If the sequence is moreover stationary Gaussian then under a suitable normalization the coordinatewise maximum is independent on the sum and its limiting distribution is a product of univariate distributions. For special normalizations it is possible to find the limiting joint distribution of the maximum and sum of the sequence.