Maxima of a triangular array of multivariate Gaussian sequence

DOI10.1016/J.SPL.2015.04.007MaRDI QIDQ893960zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva, Liang Peng, Zhi Chao Weng

Publication date 23 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.5607

zbMATH Keywords

maximacorrelation coefficientstationary Gaussian triangular array

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Abstract: It is known that the normalized maxima of a sequence of independent and identically distributed bivariate normal random vectors with correlation coefficient $hoin(-1,1)$ is asymptotically independent, which may seriously underestimate extreme probabilities in practice. By letting $ho$ depend on the sample size and go to one with certain rate, H"usler and Reiss (1989) showed that the normalized maxima can become asymptotically dependent. In this paper, we extend such a study to a triangular array of multivariate Gaussian sequence, which further generalizes the results in Hsing, H"usler and Reiss (1996) and Hashorva and Weng (2013).

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Cited in

(5)

• Asymptotics and statistical inferences on independent and non-identically distributed bivariate Gaussian triangular arrays
• Point process of clusters for a stationary Gaussian random field on a lattice
• Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
• Joint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arrays
• Extremes of stationary random fields on a lattice

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