Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence

We obtain extreme value limit distributions of the maximum of standardized partial sums of stationary Gaussian random variables with long-range dependence.

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Year of publication:	1996
Authors:	Horvàth, Lajos ; Shao, Qi-Man
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 63.1996, 1, p. 117-137
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Gaussian random variables Long-range dependence Standardized sums Extreme value distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872604