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On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes

Author

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  • Zhongquan Tan

    (Jiaxing University)

  • Enkelejd Hashorva

    (University of Lausanne)

Abstract

With motivation from Hüsler (Extremes 7:179–190, 2004) and Piterbarg (Extremes 7:161–177, 2004) in this paper we derive the joint limiting distribution of standardised maximum of a continuous, stationary Gaussian process and the standardised maximum of this process sampled at discrete time points. We prove that these two random sequences are asymptotically complete dependent if the grid of the discrete time points is sufficiently dense, and asymptotically independent if the grid is sufficiently sparse. We show that our results are relevant for computational problems related to discrete time approximation of the continuous time maximum.

Suggested Citation

  • Zhongquan Tan & Enkelejd Hashorva, 2014. "On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 169-185, March.
    • Handle: RePEc:spr:metcap:v:16:y:2014:i:1:d:10.1007_s11009-012-9305-8
    DOI: 10.1007/s11009-012-9305-8
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    References listed on IDEAS

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    1. James, Barry & James, Kang & Qi, Yongcheng, 2007. "Limit distribution of the sum and maximum from multivariate Gaussian sequences," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 517-532, March.
    2. Hüsler, Jürg & Piterbarg, Vladimir, 2004. "Limit theorem for maximum of the storage process with fractional Brownian motion as input," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 231-250, December.
    3. Debicki, Krzysztof, 2002. "Ruin probability for Gaussian integrated processes," Stochastic Processes and their Applications, Elsevier, vol. 98(1), pages 151-174, March.
    4. Enkelejd Hashorva & Jürg Hüsler, 2000. "Extremes of Gaussian Processes with Maximal Variance near the Boundary Points," Methodology and Computing in Applied Probability, Springer, vol. 2(3), pages 255-269, September.
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