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

DOI10.1080/02331888.2014.982653zbMath1370.60064arXiv1410.1802OpenAlexW2963537643MaRDI QIDQ5263983

Zhongquan Tan, Enkelejd Hashorva

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.1802

zbMATH Keywords

limiting distributionPickands constantGumbel limit lawBerman conditionextremes of Gaussian processesPiterbarg distributionPiterbarg's max-discretization theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

Approximation of the maximum of storage process with fractional Brownian motion as input ⋮ Maxima and minima of homogeneous Gaussian random fields over continuous time and uniform grids ⋮ Extremes on different grids and continuous time of stationary processes ⋮ On maxima of chi-processes over threshold dependent grids ⋮ On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields ⋮ Maxima and sum for discrete and continuous time Gaussian processes

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