Growth rates of sample covariances of stationary symmetric \(\alpha \)-stable processes associated with null recurrent Markov chains

DOI10.1016/S0304-4149(99)00081-2zbMath0995.62083OpenAlexW2044015449MaRDI QIDQ1613597

Fang Xue, Gennady Samorodnitsky, Sidney I. Resnick

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00081-2

zbMATH Keywords

heavy tailsstable processACFsample covariancenull recurrent Markov chains

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (14)

Ruin probability with claims modeled by a stationary ergodic stable process. ⋮ Limit theory for the sample autocovariance for heavy-tailed stationary infinitely divisible processes generated by conservative flows ⋮ Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. ⋮ A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence ⋮ Extreme value theory for long-range-dependent stable random fields ⋮ Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows ⋮ Long memory and self-similar processes ⋮ Point processes associated with stationary stable processes ⋮ Time-changed extremal process as a random sup measure ⋮ Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments ⋮ Extremal clustering under moderate long range dependence and moderately heavy tails ⋮ Extremal theory for long range dependent infinitely divisible processes ⋮ Null flows, positive flows and the structure of stationary symmetric stable processes ⋮ Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift

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