Limit distribution of the sum and maximum from multivariate Gaussian sequences (Q873619)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Limit distribution of the sum and maximum from multivariate Gaussian sequences |
scientific article; zbMATH DE number 5138711
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Limit distribution of the sum and maximum from multivariate Gaussian sequences |
scientific article; zbMATH DE number 5138711 |
Statements
Limit distribution of the sum and maximum from multivariate Gaussian sequences (English)
0 references
29 March 2007
0 references
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.
0 references
multivariate Gaussian sequence
0 references
maximum and partial sums
0 references
limit distribution
0 references
stationary sequence
0 references
0 references
0 references
0 references
0 references
0 references
0.9342454
0 references
0.9327924
0 references
0.9267664
0 references
0.9205004
0 references
0.9197197
0 references
0 references
