Skip to main content
×
×
Home

Asymptotic distribution of sum and maximum for Gaussian processes

  • Hwai-Chung Ho (a1) and William P. McCormick (a2)
Abstract

Let {X n , n ≥ 0} be a stationary Gaussian sequence of standard normal random variables with covariance function r(n) = E X 0 X n . Let Under some mild regularity conditions on r(n) and the condition that r(n)lnn = o(1) or (r(n)lnn)−1 = O(1), the asymptotic distribution of is obtained. Continuous-time results are also presented as well as a tube formula tail area approximation to the joint distribution of the sum and maximum.

Copyright
Corresponding author
Postal address: Institute of Statistical Science, Academia Sinica, Taipei, Taiwan, ROC.
∗∗ Postal address: Department of Statistics, University of Georgia, Athens, GA 30602, USA. Email address: bill@stat.uga.edu.
Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×

Keywords

MSC classification

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 8 *
Loading metrics...

Abstract views

Total abstract views: 104 *
Loading metrics...

* Views captured on Cambridge Core between September 2016 - 15th August 2018. This data will be updated every 24 hours.