scientific article; zbMATH DE number 4052784

MaRDI QIDQ3788883zbMATH OpenFDO

Authors Richard A. Davis, James E. Marengo, Sidney I. Resnick

Publication date 1985

zbMATH Keywords

cross-correlation functionsextreme order statisticsinfinite moving average processLimit distributionsregularly varying distributionssample cross-covarianceweak convergence of a point process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Moving averages of random vectors with regularly varying tails
• Extreme value theory for moving average processes
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• Sample cross-correlations for moving averages with regularly varying tails
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Cited in

(12)

• Extreme value theory for moving average processes
• Extremes for non-anticipating moving averages of totally skewed -stable motion
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Moving averages of random vectors with regularly varying tails
• Limit theory for high frequency sampled MCARMA models
• Moving-average models with bivariate exponential and geometric distributions
• Moving averages with random coefficients and random coefficient autoregressive models
• Multivariate maxima of moving multivariate maxima
• The distribution of the maximum of a first order moving average: the continuous case
• On regular variation of probability densities
• Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution
• Extremes of moving averages of random variables with finite endpoint

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