Extreme value theory for processes with periodic variances

Extreme value theory for processes with periodic variances

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Article ID: iaor1988841
Country: United States
Volume: 5
Start Page Number: 45
End Page Number: 61
Publication Date: Feb 1989
Journal: Communications in Statistics - Stochastic Models
Authors: ,
Abstract:

Suppose {Xn,n≥1} is a stationary sequence satisfying the D and D' mixing conditions given by Adler. Suppose further that g and h are functions on the positive integers such that h is positive, periodic with integer period p≥1 and g satisfies a certain growth rate condition. By first exhibiting the weak convergence of a sequence of point processes related to {g(i)+h(i)Xi,i≥1}, we derive the asymptotic distribution of Mn=ℝnab21iÅ=1(g(i)+h(i)Xi). When {Xn} is in the maximal

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