Extremes of moving averages of random variables with finite endpoint

DOI10.1214/aop/1176990546zbMath0726.60038OpenAlexW2050299124MaRDI QIDQ804081

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 attractionextreme value distributionEsscher transformsummability conditionsmoving average processesConvergence of point processesmaxima of moving averages

Mathematics Subject Classification ID

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

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