Extremes for non-anticipating moving averages of totally skewed [alpha]-stable motion

J. M. P. Albin

Statistics & Probability Letters, 1997, vol. 36, issue 3, 289-297

Abstract: We study extremes of moving averages of totally skewed [alpha]-stable motion for [alpha] [epsilon] (1,2]. Proofs use a new formula for conditional second moments of stable random variables.

Keywords: Extrema; Local; extrema; [alpha]-stable; process; Moving; average; Non-anticipating; moving; average; Conditional; moment; Totally; skewed; stable; distribution (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (1)

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