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On Piterbarg theorem for maxima of stationary Gaussian sequences

Hashorva¹, Enkelejd ; Peng², Zuoxiang ; Weng³, Zhichao

In: Lithuanian Mathematical Journal, 2013, vol. 53, no. 3, p. 280-292

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    Titre
    • On Piterbarg theorem for maxima of stationary Gaussian sequences
    Auteur
    • Hashorva¹, Enkelejd. Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015, Lausanne, Switzerland
    • Peng², Zuoxiang. School of Mathematics and Statistics, Southwest University, 400715, Chongqing, PR China
    • Weng³, Zhichao. Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015, Lausanne, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Lithuanian Mathematical Journal, 2013, vol. 53, no. 3, p. 280-292. Springer US; http://www.springer-ny.com
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:320608
    Summary
    Limit distributions of maxima of dependent Gaussian sequence are different according to the convergence rate of their correlations. For three different conditions on convergence rate of the correlations, in this paper, we establish the Piterbarg theorem for maxima of stationary Gaussian sequences