Exact quantiles of Gaussian process extremes

Lijian Yang

Statistics & Probability Letters, 2024, vol. 213, issue C

Abstract: Under nearly minimal conditions, continuity of extreme distribution function is established for both continuous Gaussian processes and finite Gaussian sequences, which entails existence of exact quantiles at any level. Also proved under simple conditions is strict monotonicity of extreme distribution functions that ensures uniqueness of exact quantiles at any level. These results provide convenient tools for developing statistical theory about global inference on functions.

Keywords: Continuous distribution; Density; Finite rank; Strictly increasing (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110173

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