Asymptotic independence <i>ex machina</i>: Extreme value theory for the diagonal SRE model (Q6134628): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1111/jtsa.12637 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3027699176 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularly varying multivariate time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviation estimates for exceedance times of perpetuity sequences and their dual processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail-homogeneity of stationary measures for some multidimensional stochastic recursions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Models with Power-Law Tails / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pointwise estimates for first passage times of perpetuity sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Distribution of the Quotient of Two Chance Variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theory for multivariate sample extremes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5624436 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Implicit renewal theory and tails of solutions of random equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of perpetuities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regular variation in the tail behaviour of solutions of random difference equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov tail chains / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random difference equations and renewal theory for products of random matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3713274 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the tail behavior of a class of multivariate conditionally heteroskedastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme Value Theory for a Class of Markov Chains with Values in ℝ<sup>d</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heavy-Tail Phenomena / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 17:36, 2 August 2024

scientific article; zbMATH DE number 7730964
Language Label Description Also known as
English
Asymptotic independence <i>ex machina</i>: Extreme value theory for the diagonal SRE model
scientific article; zbMATH DE number 7730964

    Statements

    Asymptotic independence <i>ex machina</i>: Extreme value theory for the diagonal SRE model (English)
    0 references
    0 references
    22 August 2023
    0 references
    0 references
    0 references
    0 references
    0 references
    stochastic recurrence equations
    0 references
    multivariate ARCH
    0 references
    multivariate regular variation
    0 references
    non-standard regular variation
    0 references
    0 references