Extremes of independent stochastic processes: a point process approach

extreme value theory Gaussian process point process weak convergence self-similarity functional regular variations partial maxima process superextremal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

Abstract: For each

n g e q 1

, let

X_{i n}, q u a d i g e q 1

be independent copies of a nonnegative continuous stochastic process

X_{n} = (X_{n} (t))_{t i n T}

indexed by a compact metric space

T

. We are interested in the process of partial maxima [ ilde M_n(u,t) =max {X_{in}(t), 1 leq ileq [nu]},quad ugeq 0, tin T.] where the brackets

[, c d o t,]

denote the integer part. Under a regular variation condition on the sequence of processes

X_{n}

, we prove that the partial maxima process

i l d e M_{n}

weakly converges to a superextremal process

i l d e M

as

n o i n f t y

. We use a point process approach based on the convergence of empirical measures. Properties of the limit process are investigated: we characterize its finite-dimensional distributions, prove that it satisfies an homogeneous Markov property, and show in some cases that it is max-stable and self-similar. Convergence of further order statistics is also considered. We illustrate our results on the class of log-normal processes in connection with some recent results on the extremes of Gaussian processes established by Kabluchko.

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