Davis, Richard; Resnick, Sidney - In: Stochastic Processes and their Applications 20 (1985) 2, pp. 257-279
Let Xt = [Sigma][infinity]j=-[infinity] cjZt - j be a moving average process where {Zt} is iid with common distribution in the domain of attraction of a stable law with index [alpha], 0 [alpha] 2. If 0 [alpha] 2, EZ1[alpha] [infinity] and the distribution of Z1and Z1Z2 are tail equivalent...