A counterexample to a hypothesis of light tail of maximum distribution for continuous random processes with light finite-dimensional tails
Probability
2012-08-31 v1
Abstract
We construct an example of a continuous centered random process with light tails of finite-dimensional distribution but with heavy tail of maximum distribution.
Keywords
Cite
@article{arxiv.1208.6281,
title = {A counterexample to a hypothesis of light tail of maximum distribution for continuous random processes with light finite-dimensional tails},
author = {E. Ostrovsky and L. Sirota},
journal= {arXiv preprint arXiv:1208.6281},
year = {2012}
}