Abstract
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.
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1The author is supported partially by the Swiss National Science Foundation project 200021-1401633/1.
2The author has been supported by the National Natural Science Foundation of China under grant 11171275 and by the Natural Science Foundation Project of CQ under cstc2012jjA00029.
3The author has been partially supported by the Swiss National Science Foundation project 200021–134785 and by the project RARE-318984 (a Marie Curie International Research Staff Exchange Scheme Fellowship within the 7th European Community Framework Programme).
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Hashorva¹, E., Peng², Z. & Weng³, Z. On Piterbarg theorem for maxima of stationary Gaussian sequences. Lith Math J 53, 280–292 (2013). https://doi.org/10.1007/s10986-013-9208-6
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DOI: https://doi.org/10.1007/s10986-013-9208-6