Berman's inequality under random scaling

DOI10.4310/SII.2014.V7.N3.A4zbMATH Open1326.60044arXiv1309.6136MaRDI QIDQ896414FDOQ896414

Authors: Enkelejd Hashorva, Zhi Chao Weng 

Publication date: 9 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

Abstract: Berman's inequality is the key for establishing asymptotic properties of maxima of Gaussian random sequences and supremum of Gaussian random fields. This contribution shows that, asymptotically an extended version of Berman's inequality can be established for randomly scaled Gaussian random vectors. Two applications presented in this paper demonstrate the use of Berman's inequality under random scaling.

Full work available at URL: https://arxiv.org/abs/1309.6136

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zbMATH Keywords

limit distributionextremal indexrandom scalingBerman's inequalityHüsler-Reiss distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Cited In (5)

• Comparison inequalities for order statistics of Gaussian arrays
• Convergence of exceedance point processes of normal sequences with a seasonal component and its applications
• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• On Berman functions
• Limit properties of exceedance point processes of strongly dependent normal sequences

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