An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

DOI10.1016/j.spa.2010.02.001zbMath1202.60039arXiv0811.3460MaRDI QIDQ981000

Philippe Barbe, William P. McCormick

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.3460

zbMATH Keywords

large deviations; ruin probability; fractional ARIMA process; Cramér's estimate; Maximum of random walk

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G70: Extreme value theory; extremal stochastic processes

60G50: Sums of independent random variables; random walks

60K25: Queueing theory (aspects of probability theory)

60K99: Special processes

60F10: Large deviations

60F99: Limit theorems in probability theory

Related Items

Long strange segments, ruin probabilities and the effect of memory on moving average processes, WHY FARIMA MODELS ARE BRITTLE

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