Long range dependence of heavy-tailed random functions
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Publication:5152512
DOI10.1017/jpr.2020.107zbMath1477.60061arXiv1706.00742OpenAlexW3199971485MaRDI QIDQ5152512
Publication date: 24 September 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.00742
time seriesrandom fieldlevel setlimit theoremmixinglong memoryinfinite variancerandom processheavy tailshort range dependencestochastic volatility processsubordinated Gaussian process
Random fields (60G60) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)
Related Items (2)
Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series
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