Extremes of subexponential Lévy driven moving average processes

DOI10.1016/j.spa.2006.01.001zbMath1114.60042OpenAlexW2014836456MaRDI QIDQ2507671

Vicky Fasen

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.01.001

zbMATH Keywords

tail behaviorOrnstein-Uhlenbeck processpoint processmarked point processLévy processextreme value theoryGumbel distributionsubexponential distributioncontinuous-time MA process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction ⋮ The tail process and tail measure of continuous time regularly varying stochastic processes ⋮ Extremes of autoregressive threshold processes ⋮ Extremes of Lévy driven mixed MA processes with convolution equivalent distributions ⋮ High-level dependence in time series models ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ Extremes of the stochastic heat equation with additive Lévy noise

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