Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes
Shengchao Zheng and
Statistics & Probability Letters, 2021, vol. 176, issue C
In this paper, the limit properties of properly time-scaled and normalized maxima of minimum of vector-valued Gaussian processes are studied. It is shown that the maxima of dependent samples of those processes converge weakly on the space of continuous functions to a stochastic process with explicit finite-dimensional distributions.
Keywords: The minimum of vector-valued Gaussian processes; Brown–Resnick process; Extreme value theory; Functional convergence (search for similar items in EconPapers)
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