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arxiv: 0909.0338 · v1 · submitted 2009-09-02 · 🧮 math.PR

Extremes of Independent Gaussian Processes

classification 🧮 math.PR
keywords processgaussianindependentlimitsprocessesanalogouscharacterizationconstants
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For every $n\in\N$, let $X_{1n},..., X_{nn}$ be independent copies of a zero-mean Gaussian process $X_n=\{X_n(t), t\in T\}$. We describe all processes which can be obtained as limits, as $n\to\infty$, of the process $a_n(M_n-b_n)$, where $M_n(t)=\max_{i=1,...,n} X_{in}(t)$ and $a_n, b_n$ are normalizing constants. We also provide an analogous characterization for the limits of the process $a_nL_n$, where $L_n(t)=\min_{i=1,...,n} |X_{in}(t)|$.

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