Darling-Erdős-type theorems for sums of Gaussian variables with long-range dependence (Q1272158)
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scientific article; zbMATH DE number 1226245
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Darling-Erdős-type theorems for sums of Gaussian variables with long-range dependence |
scientific article; zbMATH DE number 1226245 |
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Darling-Erdős-type theorems for sums of Gaussian variables with long-range dependence (English)
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23 November 1998
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The paper generalizes the result of \textit{D. A. Darling} and \textit{P. Erdős} [Duke Math. J. 23, 143-155 (1956; Zbl 0070.13806)]. The authors prove a similar result for the Gaussian stationary random sequence with controlled decay of covariances. Provided some restriction on the slowly varying function \(\ell\) they assume either \(\sum _{i,j=1}^n r(i-j)=n^{\alpha}{\ell}(n)\) or \(r(n)=n^{-\alpha}{\ell}(n)\), where \(r\) is the covariance function and \(0<\alpha <2\).
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extreme value distribution
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Gaussian random variables
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long-range dependence
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fractional Brownian motion
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0.9156174
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0.91084737
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0.8931241
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