Limit distribution of the sum and maximum from multivariate Gaussian sequences

DOI10.1016/J.JMVA.2006.06.009zbMATH Open1117.62019OpenAlexW2122030410MaRDI QIDQ873619FDOQ873619

Barry R. James, Kang Ling James, Yongcheng Qi

Publication date: 29 March 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.06.009

zbMATH Keywords

limit distributionstationary sequencemaximum and partial sumsmultivariate Gaussian sequence

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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• Extremes and related properties of random sequences and processes
• Limit distributions for the maxima of stationary Gaussian processes
• Asymptotic distribution for the sum and maximum of Gaussian processes
• On the Joint Limiting Distribution of Sums and Maxima of Stationary Normal Sequence
• On the asymptotic joint distribution of the sum and maximum of stationary normal random variables
• Asymptotic distribution of sum and maximum for Gaussian processes
• Limit Theorems for the Maximum Term in Stationary Sequences
• A note on the asymptotic independence of the sum and maximum of strongly mixing stationary random variables
• On extreme-order statistics and point processes of exceedances in multivariate stationary Gaussian sequences
• The joint limiting distribution of sums and maxima of stationary sequences
• Extremes in multivariate stationary normal sequences
• Multivariate extreme value distributions for stationary Gaussian sequences
• Weak convergence for the maxima of stationary Gaussian processes using random normalization
• Asymptotic approximation of crossing probabilities of random sequences
• Limit results for maxima in non-stationary multivariate Gaussian sequences

Cited In (17)

• The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences
• Joint behavior of point process of exceedances and partial sum from a Gaussian sequence
• The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences
• Efficient test-based variable selection for high-dimensional linear models
• Max-sum tests for cross-sectional independence of high-dimensional panel data
• The limit theorems on extreme order statistics and partial sums of i.i.d. random variables
• Asymptotically independent U-statistics in high-dimensional testing
• Joint limit distributions of exceedances point processes and partial sums of Gaussian vector sequence
• Max-sum test based on Spearman's footrule for high-dimensional independence tests
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• The maxima and sums of multivariate non-stationary Gaussian sequences
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• Limit distribution of maxima of strongly dependent Gaussian vector sequences under complete and incomplete samples
• Asymptotic distributions of maxima of complete and incomplete samples from strongly dependent stationary Gaussian sequences
• Asymptotic distribution for the sum and maximum of Gaussian processes
• Joint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arrays
• Asymptotic distributions of maxima of complete and incomplete samples from multivariate stationary Gaussian sequences

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