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A note on the functional law of iterated logarithm for maxima of Gaussian sequences
Authors:Jürg Hüsler
Institution:University of Bern, Bern, Switzerland
Abstract:Let {Xn, n ≥ 1} be a real-valued stationary Gaussian sequence with mean zero and variance one. Let Mn = max{Xt, in} and Hn(t) = (Mnt] ? bn)an?1 be the maximum resp. the properly normalised maximum process, where cn = (2 log n)12, an = (log log n)cn and bn = cn ? 12(log(4π log n))cn. We characterize the almost sure limit functions of (Hn)n≥3 in the set of non-negative, non-decreasing, right-continuous, real-valued functions on (0, ∞), if r(n) (log n)3?Δ = O(1) for all Δ > 0 or if r(n) (log n)2?Δ = O(1) for all Δ > 0 and r(n) convex and fulfills another regularity condition, where r(n) is the correlation function of the Gaussian sequence.
Keywords:60G15  Law of iterated logarithm  maximum  Gaussian sequences
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