Limit properties of exceedances point processes of scaled stationary Gaussian sequences

Détails

Ressource 1Télécharger: BIB_2D6432CC14F5.P001.pdf (246.25 [Ko])
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_2D6432CC14F5
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Limit properties of exceedances point processes of scaled stationary Gaussian sequences
Périodique
Probability and Mathematical Statistics
Auteur⸱e⸱s
Hashorva E., Peng Z., Weng Z.
ISSN
0208-4147
Statut éditorial
Publié
Date de publication
2014
Peer-reviewed
Oui
Volume
34
Numéro
1
Pages
45-59
Langue
anglais
Résumé
We derive the limiting distributions of exceedances point processes of randomly scaled weakly dependent stationary Gaussian sequences under some mild asymptotic conditions. In the literature analogous results are available only for contracted stationary Gaussian sequences. In this paper, we include additionally the case of randomly inflated stationary Gaussian sequences with a Weibullian type random scaling. It turns out that the maxima and minima of both contracted and inflated weakly dependent stationary Gaussian sequences are asymptotically independent.
Mots-clé
Stationary Gaussian sequence, Exceedances point processes, Maxima, Minima, Joint limit distribution, Random contraction, Random scaling, Weibullian tail behaviour
Web of science
Création de la notice
28/10/2013 22:57
Dernière modification de la notice
20/08/2019 13:12
Données d'usage