Extremes of totally skewed [alpha]-stable processes

J. M. P. Albin

Stochastic Processes and their Applications, 1999, vol. 79, issue 2, 185-212

Abstract: We give upper and lower bounds for the probability for a local extrema of a totally skewed [alpha]-stable stochastic process. Often these bounds are sharp and coincide. The Gaussian case [alpha]=2 is not excluded, and there our results slightly improve existing general bounds. Applications focus on moving averages and fractional [alpha]-stable motions.

Keywords: Extremes; [alpha]-Stable; process; [alpha]-Stable; random; field; Skewed; [alpha]-stable; distribution; Totally; skewed; [alpha]-stable; distribution; [alpha]-Stable; motion; Moving; average; Fractional; [alpha]-stable; motion (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(98)00093-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:79:y:1999:i:2:p:185-212

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().