Limit distribution of the sum and maximum from multivariate Gaussian sequences (Q873619)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit distribution of the sum and maximum from multivariate Gaussian sequences |
scientific article |
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
