Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes
成果类型：
Article
署名作者：
Samorodnitsky, G
署名单位：
Cornell University
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/009117904000000261
发表日期：
2004
页码：
1438-1468
关键词：
摘要：
We study the partial maxima of stationary alpha-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.