Asymptotics of maxima of strongly dependent Gaussian processes

DOI10.1239/JAP/1354716660MaRDI QIDQ4903045zbMATH OpenOpenAlexFDO

Authors Zhongquan Tan, Enkelejd Hashorva, Zuoxiang Peng

Publication date 19 January 2013

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

Full work available at URL https://arxiv.org/abs/1404.5736, https://projecteuclid.org/euclid.jap/1354716660

zbMATH Keywords

strong dependencelimit theoremPickands constantstationary Gaussian processBerman's condition

Mathematics Subject Classification ID

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

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).

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Cited in

(20)

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

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