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Multivariate extreme value distributions for stationary Gaussian sequences
Authors:Fred Amram
Institution:Université Paris VI, Paris, France
Abstract:Under weak regularity conditions of the covariance sequence, it is shown that the joint limiting distribution of the maxima on each coordinate of a stationary Gaussian multivariate sequence is that of independent random variables with marginal Gumbel distributions.
Keywords:60G10  60G15  62E20  62H10  Stationary Gaussian sequence  extreme value distributions
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