We consider data from an infinite order moving average time series model with inputs in the α-stable domain of attraction, for α ∈ (0, 2): The sample maximum of the data is of interest in settings such as insurance and finance; we produce a normalization for this statistic, which, in conjunction with subsampling methods, will allow for asymptotically correct estimation of its cumulative distribution function. A concrete application to the concept of "safety-first" portfolio selection is given.
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