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

We prove a second-order approximation formula for the distribution of the largest term among an infinite moving average Gaussian sequence. The second-order correction term depends on the autocovariance function only through the second largest autocovariance. Applications to Gaussian time series are discussed and a simulation study showed a substantial improvement over other approximations to the exact distribution of the maximum.

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Year of publication:	2004
Authors:	Barbe, Ph. ; McCormick, W. P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 110.2004, 2, p. 315-342
Publisher:	Elsevier
Keywords:	Distribution of the maximum Gaussian sequence ARMA models Time series Second order

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

Persistent link: https://www.econbiz.de/10008873155