Multivariate extreme value distributions for stationary Gaussian sequences

Fred Amram

Journal of Multivariate Analysis, 1985, vol. 16, issue 2, 237-240

Abstract: Under weak regularity conditions of the covariance sequence, it is shown that the joint limiting distribution of the maxima on each coordinate of a stationary Gaussian multivariate sequence is that of independent random variables with marginal Gumbel distributions.

Keywords: Stationary; Gaussian; sequence; extreme; value; distributions (search for similar items in EconPapers)
Date: 1985
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(85)90035-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:16:y:1985:i:2:p:237-240

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().