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

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  • Horvàth, Lajos
  • Shao, Qi-Man

Abstract

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

Suggested Citation

  • Horvàth, Lajos & Shao, Qi-Man, 1996. "Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 117-137, October.
    • Handle: RePEc:eee:spapps:v:63:y:1996:i:1:p:117-137
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    References listed on IDEAS

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    1. Gombay, Edit & Horváth, Lajos, 1994. "An application of the maximum likelihood test to the change-point problem," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 161-171, March.
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    Cited by:

    1. Moon, Hee-Jin & Choi, Yong-Kab, 2007. "Asymptotic properties for partial sum processes of a Gaussian random field," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 9-18, January.
    2. Qiying Wang & Yan-Xia Lin & Chandra M. Gulati, 2003. "Strong Approximation for Long Memory Processes with Applications," Journal of Theoretical Probability, Springer, vol. 16(2), pages 377-389, April.

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