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

DOI10.1016/j.spa.2003.12.001zbMath1075.60024OpenAlexW2058764407MaRDI QIDQ2574643

William P. McCormick, Philippe Barbe

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

infinite moving averagedistribution of maxima

Mathematics Subject Classification ID

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

Related Items (2)

Expansions for the distribution and the maximum from distributions with an asymptotically gamma tail when a trend is present ⋮ Extremes of projections of functional time series on data-driven basis systems

Cites Work

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• Asymptotic analysis. Reprint
• Extremes and related properties of random sequences and processes
• Limit distributions for the maxima of stationary Gaussian processes
• Mixing: Properties and examples
• The extremes of a triangular array of normal random variables
• The penultimate form of approximation to normal extremes
• On the rate of convergence of normal extremes
• The rate of convergence of extremes of stationary normal sequences
• Limit Theorems for the Maximum Term in Stationary Sequences

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