Long strange segments in a long-range-dependent moving average.
DOI10.1016/S0304-4149(00)00088-0zbMATH Open1053.60036MaRDI QIDQ1888751FDOQ1888751
Authors: Svetlozar T. Rachev, Gennady Samorodnitsky 
Publication date: 26 November 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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heavy tailslong-range dependencelarge deviationsregular variationmoving average processextreme value distribution
Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Strong limit theorems (60F15)
Cites Work
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- The supremum of a negative drift random walk with dependent heavy-tailed steps.
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- Erratum to ``Long strange segments in a long-range-dependent moving average
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- Long strange segments, ruin probabilities and the effect of memory on moving average processes
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- Stable random fields, point processes and large deviations
- Functional large deviations for multivariate regularly varying random walks
- A Strong Law for the Rate of Growth of Long Latency Periods in a Cloud Computing Service
- Tail index estimation in the presence of long-memory dynamics
- Long range dependence for stable random processes
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