Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes (Q2375846): Difference between revisions
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Revision as of 21:20, 19 March 2024
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English | Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes |
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Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes (English)
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25 June 2013
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The centered Gaussian process \(X(t),t\in\mathbb{R}\) is called a cyclo-stationary with period \(\tau>0\) if for every \(s\in\mathbb{R}\) its covariance function \(r(t,t+s)=\mathbb{E}\left\{ X(t)X(t+s)\right\} \) is a periodic function with respect to \(t\) with period \(\tau\).\ Consider cyclo-stationary \(\chi\)-processes defined by \[ \chi_{n}(t)=\left( X_{1}^{2}(t)+\dots+X_{n}^{2}(t)\right) ^{1/2},t\geq0, \] where \(X_{1}(t),\dots,X_{n}(t),t\geq0\) are indepedent copies of a centered cyclo-stationary Gaussian process \(X(t),t\geq0.\) The authors introduce strongly dependent cyclo-stationary \(\chi\)-processes and they obtain limit theorems of the maximum of such processes to some mixed Gumbel laws. Finally, under a global Hölder condition they show that Seleznjev \({p}\)th-mean convergence theorem holds.
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Gaussian process
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cyclo-stationary process
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\(\chi\)-process
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Gumbel limit law
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limit theorem
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Seleznjev \(p\)th-mean convergence theorem
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Piterbarg inequality
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