Extremes for non-anticipating moving averages of totally skewed \(\alpha\)-stable motion (Q1382226)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1133122
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Extremes for non-anticipating moving averages of totally skewed \(\alpha\)-stable motion |
scientific article; zbMATH DE number 1133122 |
Statements
Extremes for non-anticipating moving averages of totally skewed \(\alpha\)-stable motion (English)
0 references
1 November 1998
0 references
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.
0 references
extrema
0 references
alpha-stable process
0 references
moving average
0 references
conditional moment
0 references
totally skewed stable distribution
0 references
0 references
0.9085962
0 references
0.88686717
0 references
0 references
0.88060796
0 references
0.8789868
0 references
