A New Shape of Extremal Clusters For Certain Stationary Semi-Exponential Processes With Moderate Long Range Dependence

Autor:	Chen, Zaoli, Samorodnitsky, Gennady
Rok vydání:	2021
Předmět:	Mathematics - Probability 60F17
Druh dokumentu:	Working Paper
Popis:	Extremal clusters of stationary processes with long memory can be quite intricate. For certain stationary infinitely divisible processes with subexponential tails, including both power-like tails and certain lighter tails, e.g. lognormal-like tails, such clusters may take the shape of stable regenerative sets. In this paper we show that for semi-exponential tails, which are even lighter, a new shape of extremal clusters arises. In this case each stable regenerative set supports a random panoply of varying extremes. Comment: 41 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2107.01517 Zobrazit plný text záznamu View this record from Arxiv