Limit Laws for Extremes of Dependent Stationary Gaussian Arrays
arXiv:1405.2570 · doi:10.1016/j.spl.2012.09.017
Abstract
In this paper we show that the componentwise maxima ofweakly dependent bivariate stationary Gaussian triangular arrays converge in distribution after normalisation to Hüsler-Reiss distribution. Under a strong dependence assumption, we prove that the limit distribution of the maxima is a mixture of a bivariate Gaussian distribution and Hüsler-Reiss distribution. Another finding of our paper is that the componentwise maxima and componentwise minima remain asymptotically independent even in the settings of Hüsler and Reiss (1989) allowing further for weak dependence. Further we derive an almost sure limit theorem under the Berman condition for the components of the triangular array.
A typo in Assumption A2 has been removed