Long range dependence for stable random processes

DOI10.1111/jtsa.12560zbMath1484.60041arXiv1908.11187OpenAlexW3089137440MaRDI QIDQ4997693

Vitalii Makogin, Albert Rapp, Marco Oesting, Evgueni Spodarev

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.11187

zbMATH Keywords

characteristic functionlevel setmoving averageBrown-Resnick processextremal coefficientpositive associationmax-stablelong/short range dependencealpha-stableextremal Gaussian processlong/short memory

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

Related Items (2)

Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators ⋮ Long range dependence of heavy-tailed random functions

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