Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes

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dc.creatorSamorodnitsky, Gennady
dc.date2004-10-06
dc.date.accessioned2026-07-07T05:12:57Z
dc.date.available2026-07-07T05:12:57Z
dc.descriptionWe study the partial maxima of stationary α-stable processes. We relate their asymptotic behavior to the ergodic theoretical properties of the flow. We observe a sharp change in the asymptotic behavior of the sequence of partial maxima as flow changes from being dissipative to being conservative, and argue that this may indicate a change from a short memory process to a long memory process.
dc.descriptionPublished by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000261
dc.identifierhttps://arxiv.org/abs/math/0410149
dc.identifierhttp://arxiv.org/abs/math/0410149
dc.identifierAnnals of Probability 2004, Vol. 32, No. 2, 1438-1468
dc.identifierdoi:10.1214/009117904000000261
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/72773
dc.subjectProbability
dc.subject60G10, 37A40 (Primary)
dc.titleExtreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes
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