2013/09/24 by Enkelejd Hashorva, Hashorva, Enkelejd, Zhichao Weng +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST) #math.PR #math.ST #stat.AP #stat.TH
paper · pdf · doi:10.48550/arxiv.1309.6136
openalex publication_date 2013/09/24 · arxiv created 2014/04/23 · arxiv updated 2014/04/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01
Berman's inequality is the key for establishing asymptotic properties of maxima of Gaussian random sequences and supremum of Gaussian random fields. This contribution shows that, asymptotically an extended version of Berman's inequality can be established for randomly scaled Gaussian random vectors. Two applications presented in this paper demonstrate the use of Berman's inequality under random scaling.