Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.

DOI10.1214/009117904000000261zbMath1049.60027arXivmath/0410149OpenAlexW3104861835MaRDI QIDQ1879832

Gennady Samorodnitsky

Publication date: 15 September 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0410149

zbMATH Keywords

long memorystationary processmaximalong range dependenceergodic theorystable processconservative flowextreme valuenonsingular flow

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonsingular (and infinite-measure preserving) transformations (37A40)

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Uses Software

• longmemo

Cites Work

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• On the structure of stationary stable processes
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• Incompressible transformations
• Ergodic Theory of Markov Chains Admitting an Infinite Invariant Measure

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