Limit laws for extremes of dependent stationary Gaussian arrays

DOI10.1016/J.SPL.2012.09.017zbMATH Open1262.60046arXiv1405.2570OpenAlexW1984199273MaRDI QIDQ1933746FDOQ1933746

Authors: Enkelejd Hashorva, Zhi Chao Weng 

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this paper we show that the componentwise maxima ofweakly dependent bivariate stationary Gaussian triangular arrays converge in distribution after normalisation to H"usler-Reiss distribution. Under a strong dependence assumption, we prove that the limit distribution of the maxima is a mixture of a bivariate Gaussian distribution and H"usler-Reiss distribution. Another finding of our paper is that the componentwise maxima and componentwise minima remain asymptotically independent even in the settings of H"usler and Reiss (1989) allowing further for weak dependence. Further we derive an almost sure limit theorem under the Berman condition for the components of the triangular array.

Full work available at URL: https://arxiv.org/abs/1405.2570

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zbMATH Keywords

Brown-Resnick copula[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDsler-Reiss+distribution&go=Go H��sler-Reiss distribution]almost sure limit theoremGumbel max-domain of attractionBerman condition

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Cited In (28)

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• Large deviations of bivariate Gaussian extrema
• Limit laws for maxima of contracted stationary Gaussian sequences
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• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Maxima of bivariate random vectors: Between independence and complete dependence
• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• On the rate of concentration of maxima in Gaussian arrays
• Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
• Limiting distributions of maxima under triangular schemes
• Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• Extreme order statistics in an equally correlated Gaussian array
• Maxima of a triangular array of multivariate Gaussian sequence
• Maxima of independent, non-identically distributed Gaussian vectors
• On Gaussian triangular arrays in the case of strong dependence
• Maxima of skew elliptical triangular arrays
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Convergence rate of maxima of bivariate Gaussian arrays to the Hüsler-Reiss distribution
• The joint distribution of the maximum and minimum of an AR(1) process
• Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays
• Joint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arrays
• Almost sure central limit theorem for exceedance point processes of stationary sequences
• Asymptotics and statistical inferences on independent and non-identically distributed bivariate Gaussian triangular arrays
• Asymptotic behavior of bivariate Gaussian powered extremes
• Joint distributional expansions of maxima and minima from skew-normal samples
• Point process of clusters for a stationary Gaussian random field on a lattice

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