Extremes for non-anticipating moving averages of totally skewed \(\alpha\)-stable motion

DOI10.1016/S0167-7152(97)00075-8zbMath0898.60061OpenAlexW2023438052MaRDI QIDQ1382226

J. M. P. Albin

Publication date: 1 November 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(97)00075-8

zbMATH Keywords

moving averageconditional momentextremaalpha-stable processtotally skewed stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70)

Related Items (4)

The distribution of the maximum of a first order moving average: the continuous case ⋮ Max-stable processes and stationary systems of Lévy particles ⋮ Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities ⋮ On extremal theory for self-similar processes

Cites Work

• On extremal theory for stationary processes
• Extremes of totally skewed stable motion
• On extremal theory for self-similar processes
• How do conditional moments of stable vectors depend on the spectral measure?
• Necessary conditions for the existence of conditional moments of stable random variables
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