Maxima of continuous-time stationary stable processes

被引：18

作者：

Samorodnitsky, G ^{[1
]}

机构：

[1] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA

来源：

ADVANCES IN APPLIED PROBABILITY | 2004年 / 36卷 / 03期

关键词：

stable process; stationary process; ergodic theory; maxima; extreme value theory; non-singular flow; dissipative flow; conservative flow; weak convergence;

D O I：

10.1239/aap/1093962235

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 the suprema over compact time intervals of stationary locally bounded a-stable processes. The behaviour of these suprema as the length of the time interval increases turns out to depend significantly on the ergodic-theoretical properties of a flow generating the stationary process.

引用

页码：805 / 823

页数：19

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