Extremes of order statistics of stationary processes

• Krzysztof Dȩbicki ^[1] ; Enkelejd Hashorva ^[2] ; Lanpeng Ji ^[2] ; Chengxiu Ling ^[2]
  1. [1] University of Wrocław

     University of Wrocław

     Breslavia, Polonia

     
  2. [2] University of Lausanne

     University of Lausanne

     Lausana, Suiza

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 24, Nº. 2, 2015, págs. 229-248
• Idioma: inglés
• DOI: 10.1007/s11749-014-0404-4
• Texto completo no disponible (Saber más ...)
• Resumen

  • Let {Xi(t),t≥0},1≤i≤n be independent copies of a stationary process {X(t),t≥0}. For given positive constants u,T, define the set of rth conjunctions Cr,T,u:={t∈[0,T]:Xr:n(t)>u} with Xr:n(t) the rth largest order statistics of Xi(t),t≥0,1≤i≤n. In numerous applications such as brain mapping and digital communication systems, of interest is the approximation of the probability that the set of conjunctions Cr,T,u is not empty. Imposing the Albin’s conditions on X, in this paper we obtain an exact asymptotic expansion of this probability as u tends to infinity. Furthermore, we establish the tail asymptotics of the supremum of the order statistics processes of skew-Gaussian processes and a Gumbel limit theorem for the minimum order statistics of stationary Gaussian processes.