Download or read book Extremes of Moving Averages of Stable Processes written by Holger Rootzén and published by . This book was released on 1976 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper extremes of non-normal stable moving average processes are studied. The extremes are described as a marked point process, consisting of the point process of (separated) exceedances of a level together with marks associated with the points, a mark being the normalized sample path of X(t) around an exceedance. It is proved that this marked point process converges in distribution as the level increases to infinity. The limiting distribution is that of a Poisson process with independent marks which have random heights but otherwise are deterministic. As a byproduct of the proof for the continuous-time case, a result on sample path continuity of stable processes is obtained.

Download or read book Extremes of Totally Skewed alpha stable Processes with Applications to Non anticipative and C 2 moving Averages of Stable L vy Motion and to Fractional and Log fractional Stable Motions written by J. M. P. Albin and published by . This book was released on 1996 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extremes of Totally Skewed alpha stable Processes with Applications to Non anticipative and C2 moving Averages of Stable L vy Motion and Tot Fractional and Log fractional Stable Motions written by J. M. P. Albin and published by . This book was released on 1996 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extremes of Moving Averages of Random Variables with Finite Endpoint written by Richard A. Davis and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extreme Values Regular Variation and Point Processes written by Sidney I. Resnick and published by Springer. This book was released on 2013-12-20 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors. It emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces.

Download or read book Prediction of Stable Processes Stectral and Moving Average Representations written by Stamatis Cambanis and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extremes of Moving Averages of Ramdon i e Random Variables from the Domain of Attraction of the Double Exponential Distribution written by Richard Davis and published by . This book was released on 1989 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Statistical Extremes and Applications written by J. Tiago de Oliveira and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first references to statistical extremes may perhaps be found in the Genesis (The Bible, vol. I): the largest age of Methu'selah and the concrete applications faced by Noah-- the long rain, the large flood, the structural safety of the ark --. But as the pre-history of the area can be considered to last to the first quarter of our century, we can say that Statistical Extremes emer ged in the last half-century. It began with the paper by Dodd in 1923, followed quickly by the papers of Fre-chet in 1927 and Fisher and Tippett in 1928, after by the papers by de Finetti in 1932, by Gumbel in 1935 and by von Mises in 1936, to cite the more relevant; the first complete frame in what regards probabilistic problems is due to Gnedenko in 1943. And by that time Extremes begin to explode not only in what regards applications (floods, breaking strength of materials, gusts of wind, etc. ) but also in areas going from Proba bility to Stochastic Processes, from Multivariate Structures to Statistical Decision. The history, after the first essential steps, can't be written in few pages: the narrow and shallow stream gained momentum and is now a huge river, enlarging at every moment and flooding the margins. Statistical Extremes is, thus, a clear-cut field of Probability and Statistics and a new exploding area for research.

Download or read book Extreme Value Theory for Time Series written by Thomas Mikosch and published by Springer Nature. This book was released on with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extremes and Related Properties of Random Sequences and Processes written by M. R. Leadbetter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.

Download or read book Extreme Values In Random Sequences written by Pavle Mladenović and published by Springer Nature. This book was released on with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Some Convergence Results on Stable Infinite Moving Average Processes and Stable Self similar Processes written by Sami Umut Can and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Non-Gaussian stable stochastic models have attracted growing interest in recent years, due to their connections to limit theorems and due to empirical evidence pointing to heavier-than-Gaussian probability tails in many natural situations. We study the structure of two broad classes of stable stochastic processes through some convergence results. In the first half of the thesis, we study the integrated periodogram for discretetime infinite moving average processes with i.i.d. stable noise. We show that for such processes, a collection of weighted integrals of the periodogram, considered as a function-indexed stochastic process, converges weakly to a limit which can be represented as an infinite Fourier series with i.i.d. stable coefficients. The convergence works under certain assumptions on the Fourier coefficients of the index functions. We also extend the weak convergence results to stochastic volatility processes with stable noise, which are of interest in financial time series analysis. In the second half, we describe a family of continuous-time stable processes with stationary increments that are asymptotically or exactly self-similar. We show that they arise naturally as a large time scale limit in a situation where many users perform independent random walks and collect heavy-tailed random rewards depending on their position on the integer line. We study various properties of the limiting process. This work generalizes an earlier construction by Cohen and Samorodnitsky (2006).

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1988 with total page 964 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

Download or read book Stochastic Processes Modeling and Simulation written by D N Shanbhag and published by Gulf Professional Publishing. This book was released on 2003-02-24 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.

Download or read book Extremes for Smooth Non anticipating Moving Averages of Totally Skewed alpha stable Motion written by J. M. P. Albin and published by . This book was released on 1996 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Extreme Value Theory for Moving Average Processes written by Holger Rootzén and published by . This book was released on 1983 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Extremal Events written by Paul Embrechts and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS