Limit properties of exceedances point processes of scaled stationary Gaussian sequences

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Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Limit properties of exceedances point processes of scaled stationary Gaussian sequences
Journal
Probability and Mathematical Statistics
Author(s)
Hashorva E., Peng Z., Weng Z.
ISSN
0208-4147
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
34
Number
1
Pages
45-59
Language
english
Abstract
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.
Keywords
Stationary Gaussian sequence, Exceedances point processes, Maxima, Minima, Joint limit distribution, Random contraction, Random scaling, Weibullian tail behaviour
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28/10/2013 22:57
Last modification date
20/08/2019 13:12
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