Second-order expansion for the maximum of some stationary Gaussian sequences.

DOI10.1016/J.SPA.2003.12.001MaRDI QIDQ2574643zbMATH OpenOpenAlexFDO

Authors Philippe Barbe, W. P. McCormick

Publication date 29 November 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2003.12.001

zbMATH Keywords

distribution of maximainfinite moving average

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Review text

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.

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Cites work

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Cited in

(4)

• Expansions for the distribution and the maximum from distributions with an asymptotically gamma tail when a trend is present
• The distribution of the maximum of a first order moving average: the continuous case
• Extrema of autocorrelation coefficients for moving average processes of order two
• Extremes of projections of functional time series on data-driven basis systems

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