Extremes of the standardized Gaussian noise

DOI10.1016/J.SPA.2010.11.007zbMATH Open1225.60084arXiv1007.0312OpenAlexW1980943637MaRDI QIDQ550150FDOQ550150

Authors: Zakhar Kabluchko 

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let $$ be a $d$-dimensional array of i.i.d. Gaussian random variables and define $SSS(A)=su{m}_{ninA}x{i}_n$, where $A$ is a finite subset of $$. We prove that the appropriately normalized maximum of $SSS(A)/sqrt|A|$, where $A$ ranges over all discrete cubes or rectangles contained in ${1,ldots,n}^d$, converges in the weak sense to the Gumbel extreme-value distribution as $noinfty$. We also prove continuous-time counterparts of these results.

Full work available at URL: https://arxiv.org/abs/1007.0312

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zbMATH Keywords

local self-similarityGaussian fieldGumbel distributionscan statisticasymptotic extreme value ratePickands' double-sum methodPoisson clumping heuristic

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 (24)

• Some limit results on supremum of Shepp statistics for fractional Brownian motion
• Statistical multiresolution estimation for variational imaging: with an application in Poisson-biophotonics
• Distribution-free detection of structured anomalies: permutation and rank-based scans
• Minima and maxima of elliptical arrays and spherical processes
• Variational multiscale nonparametric regression: smooth functions
• Extremes of a class of nonhomogeneous Gaussian random fields
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• Detection of sparse mixtures: higher criticism and scan statistic
• Statistical multiresolution Dantzig estimation in imaging: fundamental concepts and algorithmic framework
• On the asymptotic distribution of the scan statistic for empirical distributions
• Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics
• Limit laws on extremes of nonhomogeneous Gaussian random fields

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