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Extremes of Independent Gaussian Processes

Probability 2009-09-03 v1

Abstract

For every nNn\in\N, let X1n,...,XnnX_{1n},..., X_{nn} be independent copies of a zero-mean Gaussian process Xn={Xn(t),tT}X_n=\{X_n(t), t\in T\}. We describe all processes which can be obtained as limits, as nn\to\infty, of the process an(Mnbn)a_n(M_n-b_n), where Mn(t)=maxi=1,...,nXin(t)M_n(t)=\max_{i=1,...,n} X_{in}(t) and an,bna_n, b_n are normalizing constants. We also provide an analogous characterization for the limits of the process anLna_nL_n, where Ln(t)=mini=1,...,nXin(t)L_n(t)=\min_{i=1,...,n} |X_{in}(t)|.

Keywords

Cite

@article{arxiv.0909.0338,
  title  = {Extremes of Independent Gaussian Processes},
  author = {Zakhar Kabluchko},
  journal= {arXiv preprint arXiv:0909.0338},
  year   = {2009}
}

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19 pages