Extremes for non-anticipating moving averages of totally skewed \(\alpha\)-stable motion (Q1382226): Difference between revisions

Let \(\{\xi(t)\}_{t\in R}\) be totally skewed \(\alpha\)-stable motion with \(\alpha \in (1,2]\). The author studies extremes of moving averages \(X(t)= \int_R f(t-x) I_{[0,\infty)} (t-x) d\xi (x)\). Proofs use the theory of extremes by the author [Ann. Probab. 18, No. 1, 92-128 (1990; Zbl 0704.60029)] and a new formula for conditional second moments of stable random variables.