Extremes of independent Gaussian processes |
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Authors: | Zakhar Kabluchko |
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Affiliation: | (1) Institute of Problems of Mechanical Engineering (Russian Academy of Science), St. Petersburg, Russia; |
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Abstract: | For every n ∈ ℕ, let X 1n ,..., X nn be independent copies of a zero-mean Gaussian process X n = {X n (t), t ∈ T}. We describe all processes which can be obtained as limits, as n→ ∞, of the process a n (M n − b n ), where M n (t) = max i = 1,...,n X in (t), and a n , b n are normalizing constants. We also provide an analogous characterization for the limits of the process a n L n , where L n (t) = min i = 1,...,n |X in (t)|. |
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