Records for time-dependent stationary Gaussian sequences

DOI10.1017/JPR.2019.77MaRDI QIDQ5109490zbMATH OpenOpenAlexFDO

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

Publication date 12 May 2020

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

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

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)

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.

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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
• scientific article; zbMATH DE number 4007358 (Why is no real title available?)
• scientific article; zbMATH DE number 4067965 (Why is no real title available?)

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