Long strange segments in a long-range-dependent moving average

Svetlozar T. Rachev and Gennady Samorodnitsky

Stochastic Processes and their Applications, 2001, vol. 93, issue 1, 119-148

Abstract: We establish the rate of growth of the length of long strange intervals in an infinite moving average process whose coefficients are regularly varying at infinity. 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 coefficients becomes smaller than 1, and then the rate of growth is determined both by the exponent of regular variation of the coefficients and by the heaviness of the tail distribution of the noise variables.

Keywords: Long-range; dependence; Moving; average; process; Large; deviations; Heavy; tails; Regular; variation; Extreme; value; distribution; Applications; in; finance; Insurance; Telecommunications (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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