On Maxima of Periodograms of Stationary Processes

We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on m-dependent approximation for stationary processes and a moderate deviation result.

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Veröffentlicht in:	The Annals of statistics 2009-10, Vol.37 (5B), p.2676-2695
Hauptverfasser:	Lin, Zhengyan, Liu, Weidong
Format:	Artikel
Sprache:	eng
Schlagworte:	60F05 62M15 Approximation Continuous functions Distribution theory Estimators Exact sciences and technology General topics Limit theorems m-dependent approximation Mathematical functions Mathematical maxima Mathematics periodogram Probability and statistics Probability theory and stochastic processes Random variables Sciences and techniques of general use Stationary process Stationary processes Statistical theories Statistics Stochastic processes Studies Time series Time series models
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Beschreibung
Zusammenfassung:	We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on m-dependent approximation for stationary processes and a moderate deviation result.
ISSN:	0090-5364 2168-8966
DOI:	10.1214/08-AOS590