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Extremes of the standardized Gaussian noise

Probability 2010-07-05 v1

Abstract

Let {ξn,nZd}\{\xi_n, n\in\Z^d\} be a dd-dimensional array of i.i.d. Gaussian random variables and define \SSS(A)=nAξn\SSS(A)=\sum_{n\in A} \xi_n, where AA is a finite subset of Zd\Z^d. We prove that the appropriately normalized maximum of \SSS(A)/A\SSS(A)/\sqrt{|A|}, where AA ranges over all discrete cubes or rectangles contained in {1,,n}d\{1,\ldots,n\}^d, converges in the weak sense to the Gumbel extreme-value distribution as nn\to\infty. 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}
}

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18 pages