Asymptotics of Maxima of Strongly Dependent Gaussian Processes

DOI10.1239/JAP/1354716660zbMATH Open1259.60039arXiv1404.5736OpenAlexW3101065224MaRDI QIDQ4903045FDOQ4903045

Enkelejd Hashorva, Zuoxiang Peng, Zhongquan Tan

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: Let $X_n(t),tin[0,infty),ninmathbbN$ be a sequence of centered dependent stationary Gaussian processes. The limit distribution of $su{p}_{tin[0,T(n)]}|X_n(t)|$ is established as $r_n(t)$, the correlation function of $X_n$ satisfies the local and long range strong dependence conditions, which extends the results obtained by Seleznjev (1991).

Full work available at URL: https://arxiv.org/abs/1404.5736

zbMATH Keywords

strong dependencelimit theoremPickands constantstationary Gaussian processBerman's condition

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (17)

• Maxima and sum for discrete and continuous time Gaussian processes
• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• Limit laws for the maxima of stationary chi-processes under random index
• On maxima of chi-processes over threshold dependent grids
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Extremes on different grids and continuous time of stationary processes
• Asymptotics of dominated Gaussian maxima
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• Comparison Inequalities for Order Statistics of Gaussian Arrays
• The limit properties of point processes of upcrossings in nonstationary strongly dependent Gaussian models
• The limit theorems for maxima of stationary Gaussian processes with random index
• Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• On the asymptotics of supremum distribution for some iterated processes
• Limit laws on extremes of nonhomogeneous Gaussian random fields

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