Hidden regular variation of moving average processes with heavy-tailed innovations

Sideny I. Resnick, Joyjit Roy

We look at joint regular variation properties of MA($\infty$) processes of the form $\mathbf{X}=(X_k,k\in \mathbb{Z})$ where $X_k={\sum }_{j=0}^{\infty }{\psi }_j{Z}_{k-j}$ and the seq…