Hidden regular variation of moving average processes with heavy-tailed innovations

DOI10.1239/jap/1417528480zbMath1334.60049arXiv1309.7909OpenAlexW1988583695MaRDI QIDQ5245629

Joyjit Roy, Sidney I. Resnick

Publication date: 14 April 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7909

zbMATH Keywords

hidden regular variationmoving average processesmultivariate heavy tail

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Spaces of measures, convergence of measures (28A33) Limit theorems in probability theory (60F99)

Related Items (3)

Branching random walks, stable point processes and regular variation ⋮ Large deviations of extremes in branching random walk with regularly varying displacements ⋮ Extremes of multitype branching random walks: heaviest tail wins

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