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Extrema of skewed stable processes

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  • Samorodnitsky, Gennady

Abstract

We study extremes of (generally) skewed stable processes. In particular we find the asymptotic behavior of the distribution function of the order statistics from a (dependent) stable sample. We give necessary conditions for a.s. boundedness of general stable processes. These conditions turn out to be sufficient when 0

Suggested Citation

  • Samorodnitsky, Gennady, 1988. "Extrema of skewed stable processes," Stochastic Processes and their Applications, Elsevier, vol. 30(1), pages 17-39, November.
    • Handle: RePEc:eee:spapps:v:30:y:1988:i:1:p:17-39
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    Cited by:

    1. Albin, J. M. P., 1999. "Extremes of totally skewed [alpha]-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 79(2), pages 185-212, February.
    2. Albin, J. M. P., 2000. "Extremes and upcrossing intensities for P-differentiable stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 199-234, June.
    3. Albin, J. M. P., 2001. "On extremes and streams of upcrossings," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 271-300, August.

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