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Zapiski Nauchnykh Seminarov POMI, 2022, Volume 510, Pages 201–210
(Mi znsl7202)
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New result on the behaviour of Gaussian maxima in terms of the covariance function
S. M. Novikov Chebyshev Laboratory, St. Petersburg State University, Department of Mathematics and Mechanics
Abstract:
It is a well-known result by Berman [1] that if the covariance function $r(n)$ of a stationary centered Gaussian sequence tends to zero as $n$ tends to infinity, then the maximum of its first $n$ elements is $\sqrt{2\log(n)}(1+o(1))$ almost surely. In this work we discuss whether or not the Cesàro convergence of $|r(n)|$ to zero necessarily implies the same asymptotic.
Key words and phrases:
asymptotic independence, weak dependence.
Received: 13.07.2022
Citation:
S. M. Novikov, “New result on the behaviour of Gaussian maxima in terms of the covariance function”, Probability and statistics. Part 32, Zap. Nauchn. Sem. POMI, 510, POMI, St. Petersburg, 2022, 201–210
Linking options:
https://www.mathnet.ru/eng/znsl7202 https://www.mathnet.ru/eng/znsl/v510/p201
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Abstract page: | 44 | Full-text PDF : | 10 | References: | 21 |
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