Gaussian Copula Time Series with Heavy Tails and Strong Time Dependence / A. E. Mazur and V. I. Piterbarg. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2015. № 5. P. 3-7 [Moscow Univ. Mech. Bulletin. Vol. 72, N 2, 2017. P. 197-201].

Let a random variable X=f(\xi), where f is a function and \xi is a standard normal random variable, belong to Fr\échet's maximum domain of attraction. The class of such functions f is described in the paper. A limit theorem for the maximum of the sequence X(k)=f(\xi_{k}), k=1,2,\dots, is proved for any f from this class, where \xi_{k} is a Gaussian stationary sequence with a slowly decreasing correlation.

Key words: copula, Gaussian sequence, Fr\échet maximum domain of attraction, limit theorems for maximum.