Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. (Q1879832)
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scientific article
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| English | Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. |
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Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. (English)
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15 September 2004
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Stationary \(\alpha\)-stable processes are studied. The problem of finding functionals indicating a change from short to long memory is discussed. The author proposes to use the sequence \((M_n)\) of partial maxima. The rate of growth of \((M_n)\) is investigated. A relation of the asymptotic behavior of \((M_n)\) to the ergodic properties is shown. Numerous examples are given.
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stable process
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stationary process
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long memory
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long range dependence
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ergodic theory
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maxima
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nonsingular flow
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conservative flow
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extreme value
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0.8174605965614319
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0.789442777633667
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0.7819951176643372
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0.7761490941047668
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0.7732732892036438
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