On extremes for Gaussian subordination

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Authors: Shuyang Bai, Marie‐Christine Düker
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Abstract

This paper investigates extreme value theory for processes obtained by applying transformations to stationary Gaussian processes, also called subordinated Gaussian processes. The main contributions are as follows. First, we refine the method of \cite{sly2008nonstandard} to allow the covariance of the underlying Gaussian process to decay more slowly than any polynomial rate, nearly matching Berman's condition. Second, we extend the theory to a multivariate setting, where both the subordinated process and the underlying Gaussian process may be vector-valued, and the transformation is finite-dimensional. In particular, we establish the weak convergence of a point process constructed from the subordinated Gaussian process, from which a multivariate extreme value limit theorem follows. A key observation that facilitates our analysis, and may be of independent interest, is the following: any bivariate random vector derived from transformations of two jointly Gaussian vectors with a non-unity canonical correlation always remains extremally independent. This observation also motivates us to introduce and discuss a notion we call $m$-extremal-dependence, which extends the classical concept of $m$-dependence. Moreover, we relax the restriction to finite-dimensional transforms, extending the results to infinite-dimensional settings via an approximation argument. As an illustration, we establish a limit theorem for a multivariate moving maxima process driven by regularly varying innovations that arise from subordinated Gaussian processes with potentially long memory.

Fields of Study & Subjects

Financial Risk and Volatility Modeling Statistical Methods and Inference Point processes and geometric inequalities

Publication details

Journal / source
Stochastic Processes and their Applications
Volume
202
Pages
105067–105067
Publication date
9 August 2026
Language
EN