Joint sum-and-max limit for a class of long-range dependent processes with heavy tails

DOI10.1007/S10959-023-01289-YMaRDI QIDQ6592128zbMATH OpenFDO

Authors Shuyang Bai, He Tang

Publication date 24 August 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10959-023-01289-Y

zbMATH Keywords

asymptotic dependenceinfinitely divisible processlong-range dependencestable subordinatorweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10)

Recommendations

• scientific article; zbMATH DE number 954492
• On joint weak convergence of partial sum and maxima processes
• Extremal theory for long range dependent infinitely divisible processes
• A functional non-central limit theorem for multiple-stable processes with long-range dependence
• Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance

Cites work

• A functional non-central limit theorem for multiple-stable processes with long-range dependence
• A note on the asymptotic independence of the sum and maximum of strongly mixing stationary random variables
• An asymptotic evaluation of the tail of a multiple symmetric - stable integral
• Asymptotic distribution for the sum and maximum of Gaussian processes
• Asymptotic distribution of sum and maximum for Gaussian processes
• Classes of mixing stable processes
• Extremal theory for long range dependent infinitely divisible processes
• Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 954492 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
• On joint weak convergence of partial sum and maxima processes
• On the asymptotic joint distribution of the sum and maximum of stationary normal random variables
• On the Convergence of Closed-Valued Measurables Multifunctions
• Stationary self-similar extremal processes
• Stochastic processes and long range dependence
• Stochastic-Process Limits
• The joint limiting distribution of sums and maxima of stationary sequences
• Theory of Random Sets
• Time-changed extremal process as a random sup measure

This page was built for publication: Joint sum-and-max limit for a class of long-range dependent processes with heavy tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6592128)