Extremes of moving averages of random variables with finite endpoint

DOI10.1214/AOP/1176990546zbMATH Open0726.60038OpenAlexW2050299124MaRDI QIDQ804081FDOQ804081

Sidney I. Resnick, Richard A. Davis

Publication date: 1991

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990546

zbMATH Keywords

asymptotic normalityregular variationdomain of attractionEsscher transformextreme value distributionsummability conditionsmoving average processesConvergence of point processesmaxima of moving averages

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10)

Cited In (23)

• Minima of \(H\)-valued Gaussian processes
• Comparison for upper tail probabilities of random series
• A note on Rosenblatt distributions
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations
• Probabilities of small deviations of the weighted sum of independent random variables with common distribution that decreases at zero not faster than a power
• Extreme value theory for moving average processes
• Small deviation probabilities for weighted sum of independent random variables with a common distribution that can decrease at zero fast enough
• On small deviations of series of weighted random variables
• Tail behavior of random products and stochastic exponentials
• The distribution of the maximum of a first order moving average: the continuous case
• On the lower tail probabilities of some random series
• On the Asymptotic Behaviour of Superexponential Lévy Processes
• Extremes of stochastic volatility models
• Limit distributions for linear programming time series estimators
• On small deviations of series of weighted positive random variables
• On lower tail probabilities of positive random sums
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• On the minimal travel time needed to collect \(n\) items on a circle.
• Small Deviation Probabilities for Weighted Sum of Independent Random Variables with a Common Distribution Having a Power Decrease at Zero, under Minimal Moment Assumptions
• Exact upper tail probabilities of random series
• Extreme value theory for a class of nonstationary time series with applications
• Small deviations of series of independent positive random variables with weights close to exponential

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