Remarks on Pickands theorem

Abstract

In this article we present Pickands theorem and his double sum method. We follow Piterbarg's proof of this theorem. Since his proof relies on general lemmas we present a complete proof of Pickands theorem using Borell inequality and Slepian lemma. The original Pickands proof is rather complicated and is mixed with upcrossing probabilities for stationary Gaussian processes. We give a lower bound for Pickands constant.