Extremes of Lévy driven mixed MA processes with convolution equivalent distributions

DOI10.1007/s10687-008-0079-xzbMath1224.60119OpenAlexW2170004459MaRDI QIDQ626294

Vicky Fasen

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0079-x

zbMATH Keywords

marked point processsubexponential distributionextreme values theoryshot noise processconvolution equivalent distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

Extreme value theory for spatial random fields -- with application to a Lévy-driven field ⋮ Functional regular variation of Lévy-driven multivariate mixed moving average processes ⋮ Integrability conditions for space-time stochastic integrals: theory and applications ⋮ High-level dependence in time series models ⋮ Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure ⋮ Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure ⋮ Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models

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