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

DOI10.1016/J.SPA.2003.12.001zbMATH Open1075.60024OpenAlexW2058764407MaRDI QIDQ2574643FDOQ2574643

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

infinite moving averagedistribution of maxima

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 193483 (Why is no real title available?)
• scientific article; zbMATH DE number 729453 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Asymptotic analysis. Reprint
• Extremes and related properties of random sequences and processes
• Limit Theorems for the Maximum Term in Stationary Sequences
• Limit distributions for the maxima of stationary Gaussian processes
• Mixing: Properties and examples
• On the rate of convergence of normal extremes
• The extremes of a triangular array of normal random variables
• The penultimate form of approximation to normal extremes
• The rate of convergence of extremes of stationary normal sequences

Cited in

(4)

• 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
• Expansions for the distribution and the maximum from distributions with an asymptotically gamma tail when a trend is present

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