a CNRS, 10 Rue de Vaugirard, Paris 75006, France;b Department of Statistics, University of Georgia, 204 Statistics Building, Athens, GA 30602, USA
Abstract:
We prove a second-order approximation formula for the distribution of the largest term among an infinite moving average Gaussian sequence. The second-order correction term depends on the autocovariance function only through the second largest autocovariance. Applications to Gaussian time series are discussed and a simulation study showed a substantial improvement over other approximations to the exact distribution of the maximum.