Extremes of Moving Averages of Random Variables with Finite Endpoint
Extremes of Moving Averages of Random Variables with Finite Endpoint
Consider moving average processes of the form $X_t = \sum^\infty_{j=0} c_jZ_{t-j}$, where $\{Z_j\}$ are iid and nonnegative random variables and $c_j > 0$ are constants satisfying summability conditions at least sufficient to make the random series above converge. We suppose that the distribution of $Z_j$ is regularly varying near 0 …