Records for time-dependent stationary Gaussian sequences

DOI10.1017/JPR.2019.77zbMATH Open1462.60045arXiv1807.00337OpenAlexW3023590718MaRDI QIDQ5109490FDOQ5109490

S. A. Padoan, Amir Khorrami Chokami, Michael Falk

Publication date: 12 May 2020

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

Abstract: For a zero-mean, unit-variance second-order stationary univariate Gaussian process we derive the probability that a record at the time $n$, say $X_n$, takes place and derive its distribution function. We study the joint distribution of the arrival time process of records and the distribution of the increments between the first and second record, and the third and second record and we compute the expected number of records. We also consider two consecutive and non-consecutive records, one at time $j$ and one at time $n$ and we derive the probability that the joint records $(X_j,X_n)$ occur as well as their distribution function. The probability that the records $X_n$ and $(X_j,X_n)$ take place and the arrival time of the $n$-th record, are independent of the marginal distribution function, provided that it is continuous. These results actually hold for a second-order stationary process with Gaussian copulas. We extend some of these results to the case of a multivariate Gaussian process. Finally, for a strictly stationary process satisfying some mild conditions on the tail behavior of the common marginal distribution function $F$ and the long-range dependence of the extremes of the process, we derive the asymptotic probability that the record $X_n$ occurs and derive its distribution function.

Full work available at URL: https://arxiv.org/abs/1807.00337

Recommendations

• scientific article; zbMATH DE number 4067965
• scientific article
• scientific article; zbMATH DE number 4007358
• Limit distributions of random record model in a stationary Gaussian sequence
• Records in stochastic processes-theory and applications

zbMATH Keywords

Gaussian processrecordstrictly stationary processarrival timeincrementsclosed skew-normal distributionjoint records

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

Cites Work

• Title not available (Why is that?)
• The Skew-normal Distribution and Related Multivariate Families*
• Title not available (Why is that?)
• The multivariate skew-normal distribution
• Title not available (Why is that?)
• Time series: Theory and methods
• Title not available (Why is that?)
• Title not available (Why is that?)
• A prospective combination of phase II and phase III in drug development
• Title not available (Why is that?)
• Asymptotic behavior of the joint record values, with applications
• Records in a partially ordered set
• The extremes of a triangular array of normal random variables
• Records and 2-block records of 1-dependent stationary sequences under local dependence
• An invariance principle for sums and record times of regularly varying stationary sequences
• Some results on joint record events
• On multivariate records from random vectors with independent components

Cited In (4)

• A strong invariance principle concerning the \(J\)-upper order statistics for stationary Gaussian sequences
• Records from stationary observations subject to a random trend
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• sn

This page was built for publication: Records for time-dependent stationary Gaussian sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5109490)