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عمومی::
زمان گسسته
Extreme value theory for continuous-time (and discrete-time) stochastic processes has meanwhile a long history.
Our investigation is based on a discrete-time skeleton {Y (tn)}n∈N of Y chosen as to incorporate those times, where big jumps of the Lévy process and extremes of the kernel function occur.
Not surprisingly, we find a strong analogy to discrete-time MA processes and corresponding results of Davis and Resnick [55] and Rootzén [131].
Our findings show that specifically chosen discrete-time points determine the extremal behavior of the continuous-time process.
Weak convergence of point processes are fundamental for our continuous- time process as its extreme behavior is governed by a discrete-time skeleton.
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