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Extremes of totally skewed [alpha]-stable processes

We give upper and lower bounds for the probability for a local extrema of a totally skewed [alpha]-stable stochastic process. Often these bounds are sharp and coincide. The Gaussian case [alpha]=2 is not excluded, and there our results slightly improve existing general bounds. Applications focus on moving averages and fractional [alpha]-stable motions.
Year of publication:
1999
Authors: Albin, J. M. P.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 79.1999, 2, p. 185-212
Publisher: Elsevier
Keywords: Extremes [alpha]-Stable process [alpha]-Stable random field Skewed [alpha]-stable distribution Totally skewed [alpha]-stable distribution [alpha]-Stable motion Moving average Fractional [alpha]-stable motion
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875243
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