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On the asymptotic location of high values of a stationary sequence

✍ Scribed by H. Ferreira; M. Scotto

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
125 KB
Volume
60
Category
Article
ISSN
0167-7152

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We consider a stationary time series [X t ] given by X t = k= & k Z t&k , where [Z t ] is a strictly stationary martingale difference white noise. Under assumptions that the spectral density f (\*) of [X t ] is squared integrable and m { |k| m 2 k Γ„ 0 for some {>1Γ‚2, the asymptotic normality of the