Extremes of the standardized Gaussian noise
Probability
2010-07-05 v1
Abstract
Let be a -dimensional array of i.i.d. Gaussian random variables and define , where is a finite subset of . We prove that the appropriately normalized maximum of , where ranges over all discrete cubes or rectangles contained in , converges in the weak sense to the Gumbel extreme-value distribution as . We also prove continuous-time counterparts of these results.
Keywords
Cite
@article{arxiv.1007.0312,
title = {Extremes of the standardized Gaussian noise},
author = {Zakhar Kabluchko},
journal= {arXiv preprint arXiv:1007.0312},
year = {2010}
}
Comments
18 pages