Strong Laws for the Maxima of Stationary Gaussian Processes
Mittal, Yash ; Ylvisaker, Donald
Ann. Probab., Tome 4 (1976) no. 6, p. 357-371 / Harvested from Project Euclid
Let $\{X_n\}$ be a stationary Gaussian sequence with $EX_0 = 0, EX_0^2 = 1$ and $EX_0X_n = r(n)$. Let $c_n = (2 \ln n)^\frac{1}{2}$ and set $M_n = \max_{0\leqq k \leqq n} X_k$. It is presently known that if $r(n) \ln n = O(1)$, \begin{equation*}\tag{1}\lim \inf\frac{2c_n(M_n - c_n)}{\ln \ln n} = -1 \quad \text{and}\quad \lim \sup\frac{2c_n(M_n - c_n)}{\ln \ln n} = 1\end{equation*} with probability 1. Related results are obtained here assuming $r(n) = o(1)$ and $(r(n) \ln n)^{-1}$ is monotone for large $n$ and $o(1)$. Subject to some regularity in $r(n)$, it is shown that if $r(n) \ln n/(\ln \ln n)^2 = o(1)$, then a.s. \begin{equation*}\tag{2}\lim \inf\frac{2c_n(M_n - (1 - r(n))^{\frac{1}{2}}c_n - Z_n)}{\ln \ln n} = -1 \quad \text{and}\end{equation*} $$\lim \sup\frac{2c_n(M_n - (1 - r(n))^{\frac{1}{2}}c_n - Z_n)}{\ln \ln n} = 1$$ where $Z_n$ is the minimum variance estimate of the mean based on $X_0,\cdots, X_n$. Futhermore if $(\ln \ln n)^2/r(n) \ln n = o(1)$, then a.s. \begin{equation*}\tag{3}\lim_{n\rightarrow\infty} r^{-\frac{1}{2}}(n)(M_n - (1 - r(n))^{\frac{1}{2}}c_n - Z_n) = 0.\end{equation*} It is pointed out that (2) and (3) contain laws for $M_n$ which more closely resemble the one given here in (1). Corresponding results for continuous parameter Gaussian processes are sketched.
Publié le : 1976-06-14
Classification:  Strong laws,  maxima,  stationary Gaussian sequences,  stationary Gaussian processes,  60G10,  60G15,  60F15
@article{1176996085,
     author = {Mittal, Yash and Ylvisaker, Donald},
     title = {Strong Laws for the Maxima of Stationary Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {4},
     number = {6},
     year = {1976},
     pages = { 357-371},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996085}
}
Mittal, Yash; Ylvisaker, Donald. Strong Laws for the Maxima of Stationary Gaussian Processes. Ann. Probab., Tome 4 (1976) no. 6, pp.  357-371. http://gdmltest.u-ga.fr/item/1176996085/