On extreme-order statistics and point processes of exceedances in multivariate stationary Gaussian sequences

Mateusz Wisniewski

Statistics & Probability Letters, 1996, vol. 29, issue 1, 55-59

Abstract: This paper deals with a weak convergence of extreme-order statistics and point processes of exceedances built on the base of stationary and normal sequences of random vectors. The convolution of normal distribution and a double-exponential-type distribution for the limiting extreme-order statistics, and Cox distribution for the limiting point process of exceedances are found.

Keywords: Multivariate; extreme-order; statistics; Multivariate; point; processes; of; exceedances; Stationary; normal; sequences (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (1)

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