Exact quantiles of Gaussian process extremes

Under nearly minimal conditions, continuity of extreme distribution function is established for both continuous Gaussian processes and finite Gaussian sequences, which entails existence of exact quantiles at any level. Also proved under simple conditions is strict monotonicity of extreme distributio...

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Veröffentlicht in:Statistics & probability letters 2024-10, Vol.213, p.110173, Article 110173
1. Verfasser: Yang, Lijian
Format: Artikel
Sprache:eng
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Zusammenfassung:Under nearly minimal conditions, continuity of extreme distribution function is established for both continuous Gaussian processes and finite Gaussian sequences, which entails existence of exact quantiles at any level. Also proved under simple conditions is strict monotonicity of extreme distribution functions that ensures uniqueness of exact quantiles at any level. These results provide convenient tools for developing statistical theory about global inference on functions.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2024.110173