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

DOI10.1080/02331888.2014.982653zbMATH Open1370.60064arXiv1410.1802OpenAlexW2963537643MaRDI QIDQ5263983FDOQ5263983

Enkelejd Hashorva, Zhongquan Tan

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

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 $Toinfty$.

Full work available at URL: https://arxiv.org/abs/1410.1802

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)

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Cited In (6)

• Maxima and sum for discrete and continuous time Gaussian processes
• On maxima of chi-processes over threshold dependent grids
• Approximation of the maximum of storage process with fractional Brownian motion as input
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• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
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