Extremes of Moving Averages of Stable Processes
Extremes of Moving Averages of Stable Processes
In this paper we study extremes of non-normal stable moving average processes, i.e., of stochastic processes of the form $X(t) = \Sigma a(\lambda - t)Z(\lambda)$ or $X(t) = \int a(\lambda - t) dZ(\lambda)$, where $Z(\lambda)$ is stable with index $\alpha < 2$. The extremes are described as a marked point …