Long strange segments in a long-range-dependent moving average.

DOI10.1016/S0304-4149(00)00088-0zbMath1053.60036MaRDI QIDQ1888751

Svetlozar T. Rachev, Gennady Samorodnitsky

Publication date: 26 November 2004

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

zbMATH Keywords

regular variationlarge deviationsheavy tailslong-range dependencemoving average processextreme value distribution

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Strong limit theorems (60F15)

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Uses Software

• longmemo

Cites Work

• Time series: theory and methods.
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
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