Long range dependence for stable random processes
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Abstract: We investigate long and short memory in -stable moving averages and max-stable processes with -Fr'echet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence suggested by Kulik and Spodarev (2019) based on the covariance of excursions. Sufficient conditions for the long and short range dependence of -stable moving averages are proven in terms of integrability of the corresponding kernel functions. For max-stable processes, the extremal coefficient function is used to state a necessary and sufficient condition for long range dependence.
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