Extreme value theory for moving average processes with light-tailed innovations
Extreme value theory for moving average processes with light-tailed innovations
We consider stationary infinite moving average processes of the form Y n =∑ i =-∞ ∞c iZ n +i,n∈ℤ, where (Zi)i∈Z is a sequence of independent and identically distributed (i.i.d.) random variables with light tails and (ci)i∈Z is a sequence of positive and summable coefficients. By `light tails' we mean …