Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes (Q2488451)

A locally stationary (in the Berman sense) Gaussian process \(X(t)\) is considered. The maxima on an interval \(M_T=\max\{X(t),0\leq t\leq T\}\) and on a discrete grid \(M_T^{(\delta)}=\max\{X(i\delta)\), \(0\leq i\delta\leq T\}\) are compared. It is shown that for a sparse grid, \(M_T\) and \(M_T^{(\delta)}\) are asymptotically independent when for a dense grid they are asymptotically totally dependent.