Second-order expansion for the maximum of some stationary Gaussian sequences. (Q2574643): Difference between revisions

The authors consider an infinite moving average process of the form \(X_n = \sum _{i=-\infty }^\infty c_i Z_{n-i}\), where \(Z_i, i=0,\pm 1, \dots \), are i.i.d.\ with standard normal distribution, \(\{c_i, i=0,\pm 1, \dots \}\) is a sequence of real numbers, such that \(\sum _{i=-\infty }^\infty c_i^2 < \infty . \) Let \(M_n = \max _{1\leq i\leq n} X_i.\) The paper, the second order correction of the distribution function of \(M_n\) is established and it is shown that it depends on the autocorrelation function through its second largest term. The result extends result by H. Rootzen.