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Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids |
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| Authors: | Enkelejd Hashorva |
| Institution: | Department of Actuarial Science, Faculty of Business and Economics (HEC Lausanne), University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland |
| Abstract: | |
| Keywords: | Piterbarg's max-discretization theorem limiting distribution Piterbarg distribution Pickands constant extremes of Gaussian processes Gumbel limit law Berman condition |