LIMIT PROPERTIES OF EXCEEDANCES POINT PROCESSES OF SCALED
STATIONARY GAUSSIAN SEQUENCES
Enkelejd Hashorva
Zuoxiang Peng
Zhichao Weng
Abstract: We derive the limiting distributions of exceedances point processes of randomly scaled
weakly dependent stationary Gaussian sequences under some mild asymptotic conditions. In
the literature analogous results are available only for contracted stationary Gaussian
sequences. In this paper, we include additionally the case of randomly inflated stationary
Gaussian sequences with a Weibullian type random scaling. It turns out that the maxima and
minima of both contracted and inflated weakly dependent stationary Gaussian sequences are
asymptotically independent.
2000 AMS Mathematics Subject Classification: Primary: 60F05; Secondary:
60G15.
Keywords and phrases: Stationary Gaussian sequence, exceedances point processes,
maxima, minima, joint limit distribution, random contraction, random scaling, Weibullian tail
behaviour.