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• W4242829895 abstract "In this paper, we study the extremal behavior of stationary mixed moving average processes of the form Y ( t )=∫ ℝ + ×ℝ f ( r , t - s ) dΛ( r , s ), t ∈ℝ, where f is a deterministic function and Λ is an infinitely divisible, independently scattered random measure whose underlying driving Lévy process is regularly varying. We give sufficient conditions for the stationarity of Y and compute the tail behavior of certain functionals of Y . The extremal behavior is modeled by marked point processes on a discrete-time skeleton chosen properly by the jump times of the underlying driving Lévy process and the extremes of the kernel function. The sequences of marked point processes converge weakly to a cluster Poisson random measure and reflect extremes of Y at a high level. We also show convergence of the partial maxima to the Fréchet distribution. Our models and results cover short- and long-range dependence regimes." @default.
• W4242829895 created "2022-05-12" @default.
• W4242829895 creator A5090100871 @default.
• W4242829895 date "2005-12-01" @default.
• W4242829895 modified "2023-10-11" @default.
• W4242829895 title "Extremes of regularly varying Lévy-driven mixed moving average processes" @default.
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• W4242829895 doi "https://doi.org/10.1017/s000186780000063x" @default.
• W4242829895 hasPublicationYear "2005" @default.
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