Long strange segments of a stochastic process.

DOI10.1214/aoap/1015345352zbMath1052.60025OpenAlexW2051432422MaRDI QIDQ1872448

Gennady Samorodnitsky, Svetlozar T. Rachev, Peter Mansfield

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1015345352

zbMATH Keywords

large deviationsheavy tailslong-range dependencestationary processesinfinite moving average

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (5)

Long strange segments, ruin probabilities and the effect of memory on moving average processes ⋮ Tail index estimation in the presence of long-memory dynamics ⋮ A Strong Law for the Rate of Growth of Long Latency Periods in a Cloud Computing Service ⋮ Functional large deviations for multivariate regularly varying random walks ⋮ Heavy-tailed random walks, buffered queues and hidden large deviations

Uses Software

• longmemo

Cites Work

• Extremes and related properties of random sequences and processes
• Time series: theory and methods.
• The detection and estimation of long memory in stochastic volatility
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• The supremum of a negative drift random walk with dependent heavy-tailed steps.
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• Activity periods of an infinite server queue and performance of certain heavy tailed fluid queues
• The Hurst effect under trends
• Consistency of Hill's estimator for dependent data
• Fractional Brownian Motions, Fractional Noises and Applications
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