Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids

Détails

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_73D3FD64A605
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
Périodique
Statistics
Auteur⸱e⸱s
Hashorva  E., Tan  Z.
ISSN
0233-1888 (Print)
1029-4910 (Electronic)
Statut éditorial
Publié
Date de publication
03/2015
Peer-reviewed
Oui
Volume
49
Numéro
2
Pages
338-360
Langue
anglais
Résumé
In this paper, we derive Piterbarg's max-discretization theorem for two different grids considering centred stationary vector Gaussian processes. So far in the literature results in this direction have been derived for the joint distribution of the maximum of Gaussian processes over and over a grid . In this paper, we extend the recent findings by considering additionally the maximum over another grid . We derive the joint limiting distribution of maximum of stationary Gaussian vector processes for different choices of such grids by letting . As a by-product we find that the joint limiting distribution of the maximum over different grids, which we refer to as the Piterbarg distribution, is in the case of weakly dependent Gaussian processes a max-stable distribution.
Mots-clé
extremes of Gaussian processes, Piterbarg distribution, Berman condition, limiting distribution, Gumbel limit law, Pickands constant, Piterbarg's max-discretization theorem
Web of science
Création de la notice
21/10/2014 21:19
Dernière modification de la notice
21/08/2019 7:09
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