The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes

被引：8

作者：

Tan, Zhongquan ^{[1
]}

Tang, Linjun ^{[1
]}

机构：

[1] Jiaxing Univ, Coll Math Phys & Informat Engn, Jiaxing 314001, Peoples R China

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2014年 / 86卷 / 01期

基金：

美国国家科学基金会;

关键词：

continuous time process; discrete time process; extreme values; Gaussian processes; strongly dependent; ASYMPTOTIC-DISTRIBUTION; MAXIMUM; SUM;

D O I：

10.1080/17442508.2012.756489

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this note, the asymptotic relation between the maximum of a continuous strongly dependent stationary Gaussian process and the maximum of this process sampled at discrete time points is studied. It is shown that these two extreme values are asymptotically totally dependent no matter what the grid of the discrete time points is.

引用

页码：60 / 69

页数：10

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