Extremes of independent Gaussian processes

作者：Kabluchko Zakhar^*

来源：Extremes, 2011, 14(3): 285-310.

DOI：10.1007/s10687-010-0110-x

• Extremes
• Gaussian processes
• Max-stable processes
• Husler-Reiss distributions

For every n aaEuro parts per thousand a"center dot, let X (1n) ,..., X (nn) be independent copies of a zero-mean Gaussian process X (n) = {X (n) (t), t aaEuro parts per thousand T}. We describe all processes which can be obtained as limits, as n -> aEuro parts per thousand a, of the process a (n) (M (n) -aEuro parts per thousand b (n) ), where M (n) (t) = max (i = 1,...,n) X (in) (t), and a (n) , b (n) are normalizing constants. We also provide an analogous characterization for the limits of the process a (n) L (n) , where L (n) (t) = min (i = 1,...,n) |X (in) (t)|.

• 出版日期2011-9