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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
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
Linking options:
https://www.mathnet.ru/eng/tvp3788https://doi.org/10.4213/tvp3788 https://www.mathnet.ru/eng/tvp/v47/i4/p817
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