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Titel:

Extremes of subexponential Lévy driven moving average processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fasen, V.
Abstract:
In this paper we study the extremal behavior of a stationary continuoustime moving average process Y (t) = ∫−∞ f(t−s) dL(s) for t∈R, where f is a deterministic function and L is a Lévy process whose increments, represented by L(1), are subexponential and in the maximum domain of attraction of the Gumbel distribution. We give necessary and sufficient conditions for Y to be a stationary, infinitely divisible process, whose stationary distribution is subexponential, and in this case we calculate i...     »
Zeitschriftentitel:
Stochastic Process. Appl.
Jahr:
2006
Band / Volume:
116
Heft / Issue:
7
Seitenangaben Beitrag:
1066-1087
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:http://dx.doi.org/10.1016/j.spa.2006.01.001
Status:
Verlagsversion / published
Semester:
SS 06
Format:
Text
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