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Extremes for non-anticipating moving averages of totally skewed [alpha]-stable motion

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  • Albin, J. M. P.

Abstract

We study extremes of moving averages of totally skewed [alpha]-stable motion for [alpha] [epsilon] (1,2]. Proofs use a new formula for conditional second moments of stable random variables.

Suggested Citation

  • Albin, J. M. P., 1997. "Extremes for non-anticipating moving averages of totally skewed [alpha]-stable motion," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 289-297, December.
    • Handle: RePEc:eee:stapro:v:36:y:1997:i:3:p:289-297
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    References listed on IDEAS

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    1. Cioczek-Georges, Renata & Taqqu, Murad S., 1995. "Necessary conditions for the existence of conditional moments of stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 233-246, April.
    2. Cioczek-Georges, Renata & Taqqu, Murad S., 1994. "How do conditional moments of stable vectors depend on the spectral measure?," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 95-111, November.
    3. Albin, J. M. P., 1993. "Extremes of totally skewed stable motion," Statistics & Probability Letters, Elsevier, vol. 16(3), pages 219-224, February.
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    Cited by:

    1. Engelke, Sebastian & Kabluchko, Zakhar, 2015. "Max-stable processes and stationary systems of Lévy particles," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4272-4299.

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