2014/10/07 by Enkelejd Hashorva, E. Hashorva, Z. Tan +3
Computer Science · Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #FOS: Mathematics #Image and Signal Denoising Methods #Mathematical Approximation and Integration #Other Statistics (stat.OT) #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.PR #math.ST #stat.OT #stat.TH
paper · pdf · doi:10.48550/arxiv.1410.1802
arxiv created 2014/10/07 · openalex publication_date 2014/10/07 · arxiv updated 2014/10/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01
In this paper we derive Piterbarg's max-discretisation theorem for two different grids considering centered stationary vector Gaussian processes. So far in the literature results in this direction have been derived for the joint distribution of the maximum of Gaussian processes over [0,T] and over a grid \mathfrakR(δ1(T))=\kδ1(T): k=0,1,⋯\. In this paper we extend recent findings by considering additionally the \bEmaximum over another grid \mathfrakR(δ2(T)). We derive the joint limiting distribution of maximum of stationary Gaussian vector processes for different choices of such grids by letting T→ ∞.