Veraverbeke's theorem at large: on the maximum of some processes with negative drift and heavy tail innovations

DOI10.1007/S10687-010-0103-9zbMATH Open1226.60064OpenAlexW2018140037MaRDI QIDQ650749FDOQ650749

Authors Philippe Barbe, W. P. McCormick 

Publication date 27 November 2011

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.3638

zbMATH Keywords

heavy tailboundary crossing probabilitylong range dependencemaximum of random walknonlinear renewal theoryfractional ARIMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Abstract: Veraverbeke's (1977) theorem relates the tail of the distribution of the supremum of a random walk with negative drift to the tail of the distribution of its increments, or equivalently, the probability that a centered random walk with heavy-tail increments hits a moving linear boundary. We study similar problems for more general processes. In particular, we derive an analogue of Veraverbeke's theorem for fractional integrated ARMA models without prehistoric influence, when the innovations have regularly varying tails. Furthermore, we prove some limit theorems for the trajectory of the process, conditionally on a large maximum. Those results are obtained by using a general scheme of proof which we present in some detail and should be of value in other related problems.

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• Varieties of long memory models
• Weak convergence of probability measures and random functions in the function space D[0,∞)

Cited In (4)

• Tauberian theorems for matrix regular variation
• A note on Veraverbeke's theorem
• Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution
• An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

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