Minima and maxima of elliptical arrays and spherical processes

DOI10.3150/12-BEJ463zbMATH Open1279.60065arXiv1307.5965OpenAlexW2006589705MaRDI QIDQ358134FDOQ358134

Authors: Enkelejd Hashorva 

Publication date: 16 August 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper, we investigate first the asymptotics of the minima of elliptical triangular arrays. Motivated by the findings of Kabluchko (Extremes 14 (2011) 285-310), we discuss further the asymptotic behaviour of the maxima of elliptical triangular arrays with marginal distribution functions in the Gumbel or Weibull max-domain of attraction. We present an application concerning the asymptotics of the maximum and the minimum of independent spherical processes.

Full work available at URL: https://arxiv.org/abs/1307.5965

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zbMATH Keywords

Gaussian processBrown-Resnick processasymptotics of sample maximaBrown-Resnick copulaDavis-Resnick tail propertyPenrose-Kabluchko processspherical process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cited In (14)

• Limit laws for maxima of contracted stationary Gaussian sequences
• Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes
• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
• Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
• The extremes of dependent chi-processes attracted by the Brown-Resnick process
• Maxima of a triangular array of multivariate Gaussian sequence
• Extremes of randomly scaled Gumbel risks
• Maxima of skew elliptical triangular arrays
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• 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
• Asymptotic behavior of bivariate Gaussian powered extremes
• Extremes and products of multivariate AC-product risks

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