Point process convergence for symmetric functions of high-dimensional random vectors

arXiv2303.15804MaRDI QIDQ6509376FDOQ6509376

Authors: Johannes Heiny, Carolin Kleemann 

Abstract: The convergence of a sequence of point processes with dependent points, defined by a symmetric function of iid high-dimensional random vectors, to a Poisson random measure is proved. This also implies the convergence of the joint distribution of a fixed number of upper order statistics. As applications of the result a generalization of maximum convergence to point process convergence is given for simple linear rank statistics, rank-type U-statistics and the entries of sample covariance matrices.

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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