Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids

DOI10.1080/02331888.2014.982653MaRDI QIDQ5263983zbMATH OpenOpenAlexFDO

Authors Zhongquan Tan, Enkelejd Hashorva

Publication date 20 July 2015

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.1802, https://serval.unil.ch/notice/serval:BIB_73D3FD64A605

zbMATH Keywords

Pickands constantlimiting distributionGumbel limit lawBerman conditionextremes of Gaussian processesPiterbarg distributionPiterbarg's max-discretization theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Abstract: In this paper we derive Piterbarg's max-discretisation theorem for two different grids considering centered stationary vector Gaussian processes. So far in the literature results in this direction have been derived for the joint distribution of the maximum of Gaussian processes over $[0,T]$ and over a grid $mathfrakR(delt{a}_1(T))=kdelt{a}_1(T):k=0,1,cdots$. In this paper we extend recent findings by considering additionally the �E{maximum} over another grid $mathfrakR(delt{a}_2(T))$. We derive the joint limiting distribution of maximum of stationary Gaussian vector processes for different choices of such grids by letting $Toinfty$.

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Cited in

(8)

• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• Extremes on different grids and continuous time of stationary processes
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• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
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• Approximation of the maximum of storage process with fractional Brownian motion as input

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