Multivariate extreme value distributions for stationary Gaussian sequences |
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Authors: | Fred Amram |
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Affiliation: | Université Paris VI, Paris, France |
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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. |
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Keywords: | 60G10 60G15 62E20 62H10 Stationary Gaussian sequence extreme value distributions |
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