Long strange segments in a long-range-dependent moving average
نویسندگان
چکیده
منابع مشابه
Long Strange Segments in a Long Range Dependent Moving Average
We establish the rate of growth of the length of long strange intervals in an innnite moving average process whose coeecients are regularly varying at innnity. We compute the limiting distribution of the appropriately normalized length of such intervals. The rate of growth of the length of long strange intervals turns out to change dramatically once the exponent of regular variation of the coee...
متن کاملLong Strange Segments, Ruin Probabilities and the Effect of Memory on Moving Average Processes
We obtain the rate of growth of long strange segments and the rate of decay of infinite horizon ruin probabilities for a class of infinite moving average processes with exponentially light tails. The rates are computed explicitly. We show that the rates are very similar to those of an i.i.d. process as long as moving average coefficients decay fast enough. If they do not, then the rates are sig...
متن کاملLong Strange Segments of a Stochastic Process and Long Range Dependence
We study long strange intervals in a linear stationary stochastic process with regularly varying tails. It turns out that the length of the longest strange interval grows, as a function of the sample size, at diierent rates in diierent parts of the parameter space. We argue that this phenomenon may be viewed in a fruitful way as a phase transition between short and long range dependence. We pro...
متن کاملAnalysis of clusters formed by the moving average of a long-range correlated time series.
We analyze the stochastic function C(n)(i) identical with y(i)-y(n)(i), where y(i) is a long-range correlated time series of length N(max) and y(n)(i) identical with (1/n) Sigma(n-1)(k=0)y(i-k) is the moving average with window n. We argue that C(n)(i) generates a stationary sequence of self-affine clusters C with length l, lifetime tau, and area s. The length and the area are related to the li...
متن کاملAverage Consensus in Dense Wireless Networks with Long-Range Connectivity
We consider the effect of interference on the convergence rate of a class of distributed averaging algorithms called consensus algorithms, which iteratively compute the measurement average by message passing among nodes. It is usually assumed that these algorithms converge faster with a greater exchange of information (i.e., by increased network connectivity) in every iteration. However, when t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2001
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(00)00088-0