A Conditioned Limit Law Result for Jumps in the Sequence of Partial Maxima of a Stationary Gaussian Sequence.
Abstract
Conditional of a jump occurring, the limiting distribution for the size of the jump in the partial maxima sequence for a class of stationary Gaussian sequences is derived. It is shown that the limiting distribution is exponential with mean square root of (1-gamma) where gamma equals the atom at zero of the spectral distribution function associated with the correlation function of the sequence. A generalization of this result to include the entire jump sequence subsequent to the jump conditioned to occur is also presented.
Document Details
- Document Type
- Technical Report
- Publication Date
- Aug 01, 1982
- Accession Number
- ADA120298
Entities
People
- William P. Mccormick
Organizations
- University of North Carolina at Chapel Hill