Extreme value theory for stochastic integrals of Legendre polynomials
We study in this paper the extremal behavior of stochastic integrals of Legendre polynomial transforms with respect to Brownian motion. As the main results, we obtain the exact tail behavior of the supremum of these integrals taken over intervals [0,h] with h>0 fixed, and the limiting distribution of the supremum on intervals [0,T] as T-->[infinity]. We show further how this limit distribution is connected to the asymptotic of the maximally selected quasi-likelihood procedure that is used to detect changes at an unknown time in polynomial regression models. In an application to global near-surface temperatures, we demonstrate that the limit results presented in this paper perform well for real data sets.
Volume (Year): 100 (2009)
Issue (Month): 5 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
- Shao, Qi-Man, 1993. "Almost sure invariance principles for mixing sequences of random variables," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 319-334, November.
- Jandhyala, V. K. & MacNeill, I. B., 1989. "Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times," Stochastic Processes and their Applications, Elsevier, vol. 33(2), pages 309-323, December.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:5:p:1029-1043. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.