A Strong Invariance Principle Concerning the $J$-Upper Order Statistics for Stationary Gaussian Sequences
Haiman, George ; Puri, Madan L.
Ann. Probab., Tome 21 (1993) no. 4, p. 86-135 / Harvested from Project Euclid
It is shown that in the case of stationary Gaussian processes, the $J$th $(J \geq 1)$ record times $\{T_n, n \geq 1\}$ and the corresponding $J$-upper order statistics $\{X_{T_n - J + 1, T_n}, \ldots, X_{T_n, T_n}\}$ can almost surely be identified via a translation of the time index $n$ to the corresponding elements defined on a sequence of independent and identically distributed random variables. A construction method for approximating sequences of record times and the corresponding upper order statistics introduced by Haiman (1987a, b) for the case $J = 1$ is extended and applied under weaker conditions concerning the covariance function, and also under different sets of new hypotheses.
Publié le : 1993-01-14
Classification:  Strong invariance,  Gaussian processes,  record times,  order statistics,  60F15,  60G15,  62G30
@article{1176989395,
     author = {Haiman, George and Puri, Madan L.},
     title = {A Strong Invariance Principle Concerning the $J$-Upper Order Statistics for Stationary Gaussian Sequences},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 86-135},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989395}
}
Haiman, George; Puri, Madan L. A Strong Invariance Principle Concerning the $J$-Upper Order Statistics for Stationary Gaussian Sequences. Ann. Probab., Tome 21 (1993) no. 4, pp.  86-135. http://gdmltest.u-ga.fr/item/1176989395/