Extremes of order statistics of stationary processes

DOI10.1007/S11749-014-0404-4MaRDI QIDQ2351812zbMATH OpenOpenAlexFDO

Authors Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji, Chengxiu Ling

Publication date 26 June 2015

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.7354

zbMATH Keywords

order statisticsstationary processesextremesGumbel limit theoremAlbin conditionsskew-Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

Abstract: Let $X_i(t),tge0,1leilen$ be independent copies of a stationary process $X(t),tge0$. For given positive constants $u,T$, define the set of $r$th conjunctions $C_{r,T,u}:=tin[0,T]:X_{r:n}(t)>u$ with $X_{r:n}(t)$ the $r$th largest order statistics of $X_1(t),ldots,X_n(t),tge0$. In numerous applications such as brain mapping and digital communication systems, of interest is the approximation of the probability that the set of conjunctions $C_{r,T,u}$ is not empty. Imposing the Albin's conditions on $X$, in this paper we obtain an exact asymptotic expansion of this probability as $u$ tends to infinity. Further, we establish the tail asymptotics of the supremum of a generalized skew-Gaussian process and a Gumbel limit theorem for the minimum order statistics of stationary Gaussian processes. As a by-product we derive a version of Li and Shao's normal comparison lemma for the minimum and the maximum of Gaussian random vectors.

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