Maxima of independent, non-identically distributed Gaussian vectors

DOI10.3150/13-BEJ560zbMath1322.60073arXiv1205.0947OpenAlexW3100774176MaRDI QIDQ2345114

Martin Schlather, Zakhar Kabluchko, Sebastian Engelke

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.0947

zbMATH Keywords

maximatriangular arraysmax-stable processesGaussian random vectorsmax-stable distributionsBrown-Resnick processesextremal correlation functionsHuesler-Reiss distributionmax-limit theorems

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99)

Related Items (10)

Higher-order expansions of distributions of maxima in a Hüsler-Reiss model ⋮ Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays ⋮ Extremes of \(q\)-Ornstein-Uhlenbeck processes ⋮ Maxima of a triangular array of multivariate Gaussian sequence ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ The extremes of dependent chi-processes attracted by the Brown-Resnick process ⋮ Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes ⋮ Maxima of skew elliptical triangular arrays ⋮ Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays ⋮ Tail correlation functions of max-stable processes

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