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Teoriya Veroyatnostei i ee Primeneniya, 2002, Volume 47, Issue 4, Pages 817–820
DOI: https://doi.org/10.4213/tvp3788
(Mi tvp3788)
 

This article is cited in 23 scientific papers (total in 23 papers)

Short Communications

On the joint limiting distribution of sums and maxima of stationary normal sequences

Z. Penga, S. Nadarajahb

a Southwest China Normal University
b University of Manchester, Department of Mathematics
Abstract: Let $X_1,X_2,\dots$ be a stationary sequence of standard normal random variables. Let $\rho_n=\mathbf{E}(X_1 X_{n+1})$. Ho and Hsing derived the asymptotic joint distribution of $\sum_{i=1}^n X_i$ and $\max_{1\le i\le n}X_i$ for the case $\rho_n\log n\to\gamma\in[0,\infty)$. In this paper we extend this result for the case where $\rho_n$ is convex with $\rho_n=o(1)$, and $(\rho_n\log n)^{-1}$ is monotone with $(\rho_n\log n)^{-1}=o(1)$.
Keywords: asymptotic distribution, maxima, stationary normal sequence, sum.
Received: 18.07.2000
English version:
Theory of Probability and its Applications, 2003, Volume 47, Issue 4, Pages 706–709
DOI: https://doi.org/10.1137/S0040585X97980142
Bibliographic databases:
Document Type: Article
Language: English
Citation: Z. Peng, S. Nadarajah, “On the joint limiting distribution of sums and maxima of stationary normal sequences”, Teor. Veroyatnost. i Primenen., 47:4 (2002), 817–820; Theory Probab. Appl., 47:4 (2003), 706–709
Citation in format AMSBIB
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\paper On the joint limiting distribution of sums and maxima of stationary normal sequences
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\pages 817--820
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\zmath{https://zbmath.org/?q=an:1054.60043}
\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
\issue 4
\pages 706--709
\crossref{https://doi.org/10.1137/S0040585X97980142}
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  • https://doi.org/10.4213/tvp3788
  • https://www.mathnet.ru/eng/tvp/v47/i4/p817
  • This publication is cited in the following 23 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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