Maxima of continuous-time stationary stable processes
نویسندگان
چکیده
منابع مشابه
On maxima of periodograms of stationary processes
We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on m-dependent approximation for stationary processes and a moderate deviation result.
متن کاملTemporal Aggregation of Stationary and Non-stationary Continuous-Time Processes
We study the autocorrelation structure of aggregates from a continuous-time process. The underlying continuous-time process or some of its higher derivative is assumed to be a stationary continuous-time auto-regressive fractionally integrated moving-average (CARFIMA) process with Hurst parameter H. We derive closed-form expressions for the limiting autocorrelation function and the normalized sp...
متن کاملMaxima of Long Memory Stationary Symmetric Α-stable Processes, and Self-similar Processes with Stationary Max-increments
We derive a functional limit theorem for the partial maxima process based on a long memory stationary α-stable process. The length of memory in the stable process is parameterized by a certain ergodic theoretical parameter in an integral representation of the process. The limiting process is no longer a classical extremal Fréchet process. It is a self-similar process with α-Fréchet marginals, a...
متن کاملOn $L_1$-weak ergodicity of nonhomogeneous continuous-time Markov processes
In the present paper we investigate the $L_1$-weak ergodicity of nonhomogeneous continuous-time Markov processes with general state spaces. We provide a necessary and sufficient condition for such processes to satisfy the $L_1$-weak ergodicity. Moreover, we apply the obtained results to establish $L_1$-weak ergodicity of quadratic stochastic processes.
متن کاملStable fixed-lag smoothing of continuous time processes
Attempts to realize optimal fixed-lag smoothers for conIf one turns to the earlier literature, one can find, as is well tinuous-time processes have encountered two major difficulties: the known, descriptions of fixed-lag smoothers (for stationary presence of delay lines in the smoother, and the instability of most problems only) in the work of Wiener [13]. The optimal smoothers. This paper cons...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2004
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800013124