Extremes of moving averages of random variables with finite endpoint
asymptotic normalityConvergence of point processesdomain of attractionEsscher transformextreme value distributionmaxima of moving averagesmoving average processesregular variationsummability conditions
Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)
- Extreme value theory for moving average processes
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Extreme value theory for moving average processes with light-tailed innovations
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- scientific article; zbMATH DE number 4052784
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Extreme value theory for moving average processes
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- Extremes of stochastic volatility models
- Limit distributions for linear programming time series estimators
- On the lower tail probabilities of some random series
- Extreme value theory for a class of nonstationary time series with applications
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- On the minimal travel time needed to collect \(n\) items on a circle.
- On small deviations of series of weighted positive random variables
- Exact upper tail probabilities of random series
- Tail behavior of random products and stochastic exponentials
- On lower tail probabilities of positive random sums
- Minima of \(H\)-valued Gaussian processes
- Probabilities of small deviations of the weighted sum of independent random variables with common distribution that decreases at zero not faster than a power
- Small deviation probabilities for weighted sum of independent random variables with a common distribution that can decrease at zero fast enough
- Small deviations of series of independent positive random variables with weights close to exponential
- Comparison for upper tail probabilities of random series
- Small deviation probabilities for weighted sum of independent random variables with a common distribution having a power decrease at zero, under minimal moment assumptions
- ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
- The distribution of the maximum of a first order moving average: the continuous case
- Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations
- Extremes of moving averages and moving maxima on a regular lattice
- Records for the moving average of a time series
- L₂-small ball asymptotics for Gaussian random functions: a survey
- On the Asymptotic Behaviour of Superexponential Lévy Processes
- Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution
- On small deviations of series of weighted random variables
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