Long strange segments in a long-range-dependent moving average.

DOI10.1016/S0304-4149(00)00088-0MaRDI QIDQ1888751zbMATH OpenFDO

Authors Svetlozar T. Rachev, Gennady Samorodnitsky

Publication date 26 November 2004

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

heavy tailslong-range dependencelarge deviationsregular variationmoving average processextreme value distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

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Cites work

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• The supremum of a negative drift random walk with dependent heavy-tailed steps.
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(10)

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• Erratum to ``Long strange segments in a long-range-dependent moving average
• Stable random fields, point processes and large deviations
• Trimmed sums of long range dependent moving averages
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• Long strange segments, ruin probabilities and the effect of memory on moving average processes
• Tail index estimation in the presence of long-memory dynamics
• Long strange segments of a stochastic process.
• Long range dependence for stable random processes
• A strong law for the rate of growth of long latency periods in a cloud computing service

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