Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/230291 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Time Series Analysis [ISSN:] 1467-9892 [Volume:] 42 [Issue:] 2 [Publisher:] John Wiley & Sons, Ltd [Place:] Oxford, UK [Year:] 2021 [Pages:] 161-185
Publisher: 
John Wiley & Sons, Ltd, Oxford, UK
Abstract: 
We investigate long and short memory in α-stable moving averages and max-stable processes with α-Fréchet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence based on the covariance of indicators of excursion sets. Sufficient conditions for the long and short range dependence of α-stable moving averages are proven in terms of integrability of the corresponding kernel functions. For max-stable processes, the extremal coefficient function is used to state a necessary and sufficient condition for long range dependence.
Subjects: 
long/short memory
long/short range dependence
alpha‐stable
max‐stable
level set
characteristic function
moving average
Brown‐Resnick process
extremal Gaussian process
positive association
extremal coefficient
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size
294.99 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.