Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence
Lajos Horvath and
Stochastic Processes and their Applications, 1996, vol. 63, issue 1, 117-137
We obtain extreme value limit distributions of the maximum of standardized partial sums of stationary Gaussian random variables with long-range dependence.
Keywords: Fractional; Brownian; motion; Gaussian; random; variables; Long-range; dependence; Standardized; sums; Extreme; value; distribution (search for similar items in EconPapers)
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