Extremes of regularly varying Lévy-driven mixed moving average processes
نویسندگان
چکیده
منابع مشابه
Extremes of Regularly Varying Lévy Driven Mixed Moving Average Processes
In this paper we study the extremal behavior of stationary mixed moving average processes Y (t) = ∫ R+×R f(r, t − s) dΛ(r, s) for t ∈ R, where f is a deterministic function and Λ is an infinitely divisible independently scattered random measure, whose underlying driving Lévy process is regularly varying. We give sufficient conditions for the stationarity of Y and compute the tail behavior of ce...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2005
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1134587750