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On maxima of periodograms of stationary processes. (English) Zbl 1206.62017

Summary: We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on \(m\)-dependent approximation for stationary processes and a moderate deviation result.

MSC:

62E20 Asymptotic distribution theory in statistics
62M15 Inference from stochastic processes and spectral analysis
60F10 Large deviations

References:

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