Minima and maxima of elliptical arrays and spherical processes (Q358134): Difference between revisions
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Revision as of 01:04, 5 March 2024
scientific article
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English | Minima and maxima of elliptical arrays and spherical processes |
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Minima and maxima of elliptical arrays and spherical processes (English)
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16 August 2013
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Let \(X_n^{(i)}=_D RA_nU\), \(1\leq i\leq n\), \(n\in\mathbb N\), be independent \(k\)-dimensional random vectors, where the random vector \(U\) is uniformly distributed on the unit sphere of \(\mathbb R^k\), the radial random variable \(R\) is positive, \(R\) and \(U\) are independent, and the sequence of square matrices \(A_n\) satisfies \(\lim_{n\to\infty} c_n((1)-A_nA_n^\intercal)=\Gamma\) for some sequence of constants \(c_n\) tending to infinity, among others. This paper discusses the asymptotic distribution of the vector of componentwise minima of absolute values \(L_n=(L_{n1},\dots,L_{nk})\) and maxima \(M_n=(M_{n1},\dots,M_{nk})\), where \(L_{nj}=\min_{1\leq i\leq n}\left|X_{nj}^{(i)}\right|\) and \(M_{nj}=\max_{1\leq i\leq n}X_{nj}^{(i)}\), \(1\leq j\leq k\), \(n\in\mathbb N\). An application concerns the asymptotics of the maximum and and the minimum of independent spherical processes.
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asymptotics of sample maxima
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Brown-Resnick copula
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Brown-Resnick process
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Davis-Resnick tail property
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Gaussian process
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Penrose-Kabluchko process
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spherical process
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