Hidden regular variation of moving average processes with heavy-tailed innovations
نویسندگان
چکیده
منابع مشابه
Extreme value theory for moving average processes with light-tailed innovations
We consider stationary infinite moving average processes of the form Yn = ∞ ∑ i=−∞ ciZn+i, n ∈ Z, where (Zi)i∈Z is a sequence of iid random variables with “light tails” and (ci)i∈Z is a sequence of positive and summable coefficients. By light tails we mean that Z0 has a bounded density f(t) ∼ ν(t) exp(−ψ(t)), where ν(t) behaves roughly like a constant as t→∞ and ψ is strictly convex satisfying ...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2014
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1417528480