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)

Full work available at URL https://doi.org/10.1016/S0304-4149(00)00088-0

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.
• Time series: theory and methods.

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• Stable random fields, point processes and large deviations
• Functional large deviations for multivariate regularly varying random walks
• Tail index estimation in the presence of long-memory dynamics
• Long range dependence for stable random processes

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