The maximum of the periodogram for a heavy-tailed sequence

• 成果类型: Article
• 署名作者: Mikosch, T; Resnick, S; Samorodnitsky, G
• 署名单位: University of Groningen; Cornell University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2000
• 页码: 885-908
• 关键词: coefficients

摘要

We consider the maximum of the periodogram based on an infinite variance heavy-tailed sequence. For alpha < 1 we show that the maxima constitute a weakly convergent sequence and find its limiting distribution. For 1 alpha < 2 we show that the sequence of the maxima is not tight and find a normalization that makes it tight.