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

Ph. Barbe and W. P. McCormick

Stochastic Processes and their Applications, 2004, vol. 110, issue 2, 315-342

Abstract: 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.

Keywords: Distribution; of; the; maximum; Gaussian; sequence; ARMA; models; Time; series; Second; order (search for similar items in EconPapers)
Date: 2004
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