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

被引：4

作者：

Albin, JMP ^{[1
]}

机构：

[1] GOTHENBURG UNIV,CHALMERS UNIV TECHNOL,DEPT MATH,S-41296 GOTHENBURG,SWEDEN

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 36卷 / 03期

关键词：

extrema; local extrema; alpha-stable process; moving average; non-anticipating moving average; conditional moment; totally skewed stable distribution;

D O I：

10.1016/S0167-7152(97)00075-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study extremes of moving averages of totally skewed cc-stable motion for alpha is an element of (1,2]. Proofs use a new formula for conditional second moments of stable random variables. (C) 1997 Elsevier Science B.V.

引用

页码：289 / 297

页数：9

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