Asymptotic distribution for the sum and maximum of Gaussian processes

Asymptotic distribution for the sum and maximum of Gaussian processes

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Article ID: iaor2004892
Country: United States
Volume: 37
Issue: 4
Start Page Number: 958
End Page Number: 971
Publication Date: Dec 2000
Journal: Journal of Applied Probability
Authors: ,
Abstract:

Previous work on the joint asymptotic distribution of the sum and maximum of Gaussian processes is extended here. In particular, it is shown that for a stationary sequence of standard normal random variables with correlation function r, the condition r(n) n = o(1) as n → ∞ suffices to establish the asymptotic independence of the sum and maximum.

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