A Convergence Theorem for Extreme Values from Gaussian Sequences
Welsch, Roy E.
Ann. Probab., Tome 1 (1973) no. 5, p. 398-404 / Harvested from Project Euclid
Let $\{X_n, n = 0, \pm 1, \pm 2, \cdots\}$ be a stationary Gaussian stochastic process with means zero, variances one, and covariance sequence $\{r_n\}$. Let $M_n = \max \{X_1, \cdots, X_n\}$ and $S_n =$ second largest $\{X_1, \cdots, X_n\}$. Limit properties are obtained for the joint law of $M_n$ and $S_n$ as $n$ approaches infinity. A joint limit law which is a function of a double exponential law is known to hold if the random variables $X_i$ are mutually independent. When $M_n$ alone is considered Berman has shown that a double exponential law holds in the case of dependence provided either $r_n \log n \rightarrow 0$ or $\sum^\infty_{n=1} r_n^2 < \infty$. In the present work it is shown that the above conditions are also sufficient for the convergence of the joint law of $M_n$ and $S_n$. Weak convergence properties of the stochastic processes $M_{\lbrack nt\rbrack}$ and $S_{\lbrack nt \rbrack}$ with $0 < a \leqq t < \infty$ are also discussed.
Publié le : 1973-06-14
Classification:  Order statistics,  Gaussian processes,  extreme-value theory,  weak convergence,  62G30,  60G15,  62E20
@article{1176996934,
     author = {Welsch, Roy E.},
     title = {A Convergence Theorem for Extreme Values from Gaussian Sequences},
     journal = {Ann. Probab.},
     volume = {1},
     number = {5},
     year = {1973},
     pages = { 398-404},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996934}
}
Welsch, Roy E. A Convergence Theorem for Extreme Values from Gaussian Sequences. Ann. Probab., Tome 1 (1973) no. 5, pp.  398-404. http://gdmltest.u-ga.fr/item/1176996934/