Extremes of Moving Averages of Stable Processes
Rootzen, Holger
Ann. Probab., Tome 6 (1978) no. 6, p. 847-869 / Harvested from Project Euclid
In this paper we study extremes of non-normal stable moving average processes, i.e., of stochastic processes of the form $X(t) = \Sigma a(\lambda - t)Z(\lambda)$ or $X(t) = \int a(\lambda - t) dZ(\lambda)$, where $Z(\lambda)$ is stable with index $\alpha < 2$. The extremes are described as a marked point process, consisting of the point process of (separated) exceedances of a level together with marks associated with the points, a mark being the normalized sample path of $X(t)$ around an exceedance. It is proved that this marked point process converges in distribution as the level increases to infinity. The limiting distribution is that of a Poisson process with independent marks which have random heights but otherwise are deterministic. As a byproduct of the proof for the continuous-time case, a result on sample path continuity of stable processes is obtained.
Publié le : 1978-10-14
Classification:  Extreme values,  stable processes,  moving average,  sample path continuity,  60F05,  60G17
@article{1176995432,
     author = {Rootzen, Holger},
     title = {Extremes of Moving Averages of Stable Processes},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 847-869},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995432}
}
Rootzen, Holger. Extremes of Moving Averages of Stable Processes. Ann. Probab., Tome 6 (1978) no. 6, pp.  847-869. http://gdmltest.u-ga.fr/item/1176995432/