Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations

DOI10.1002/ASMB.500zbMath1051.60027OpenAlexW2031315355MaRDI QIDQ4827963

Helena Ferreira, Manuel G. Scotto

Publication date: 24 November 2004

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.500

zbMATH Keywords

extreme valuespoint processesextremal indexmoving averagesub-sampling

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

The extremal index of sub-sampled processes ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations ⋮ On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails ⋮ Subsampling techniques and the jackknife methodology in the estimation of the extremal index

Cites Work

• Unnamed Item
• Extremes and related properties of random sequences and processes

This page was built for publication: Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations