Long Strange Segments in a Long Range Dependent Moving Average
نویسنده
چکیده
We establish the rate of growth of the length of long strange intervals in an innnite moving average process whose coeecients are regularly varying at innnity. We compute the limiting distribution of the appropriately normalized length of such intervals. The rate of growth of the length of long strange intervals turns out to change dramatically once the exponent of regular variation of the coeecients becomes smaller than 1, and then the rate of growth is determined both by the exponent of regular variation of the coeecients and by the heaviness of the tail distribution of the noise variables.
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