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20192023
most citedLong Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators

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math.PR2019

Long Range Dependence for Stable Random Processes

Vitalii Makogin, Marco Oesting, Albert Rapp +1

We investigate long and short memory in -stable moving averages and max-stable processes with -Fréchet marginal distributions. As these processes are heavy-tailed, we rely on…