On the maxima of continuous and discrete time Gaussian order statistics processes
Probability
2019-10-18 v1
Abstract
In this paper, we study the asymptotic relation between the maximum of acontinuous order statistics process formed by stationary Gaussian processesand the maximum of this process sampled at discrete time points. It is shown that, these two maxima are asymptotically independent when the Gaussian processes are weakly dependent and the discrete points are sufficient sparse, while for other case, these two maxima are asymptotically dependent.
Keywords
Cite
@article{arxiv.1910.07704,
title = {On the maxima of continuous and discrete time Gaussian order statistics processes},
author = {Zhongquan Tan},
journal= {arXiv preprint arXiv:1910.07704},
year = {2019}
}
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