Regularly varying multivariate time series (Q1016605): Difference between revisions

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+W1980010321
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+.3989
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+A characterization of multivariate regular variation.
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+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
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+Extremes of Markov Chains with Tail Switching Potential
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+Q5525727
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+Point process and partial sum convergence for weakly dependent random variables with infinite variance
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+The sample autocorrelations of heavy-tailed processes with applications to ARCH
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+Basic properties and prediction of max-ARMA processes
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+Prediction of stationary max-stable processes
@@ Property / cites work: Prediction of stationary max-stable processes / rank @@
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+Nonparametric estimation of the spectral measure of an extreme value distribution.
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+Q5624436
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+Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
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+ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL / rank @@
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+On the exceedance point process for a stationary sequence
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+On Kesten's counterexample to the Cramér-Wold device for regular variation
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+Tail probabilities for infinite series of regularly varying random vectors
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+Q4776689
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+Random difference equations and renewal theory for products of random matrices
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+Renewal theory for functionals of a Markov chain with compact state space.
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+Extremal behaviour of models with multivariate random recurrence representation
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+Extremal theory for stochastic processes
@@ Property / cites work: Extremal theory for stochastic processes / rank @@
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+Q2719286
@@ Property / cites work: Q2719286 / rank @@
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+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
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+Extremal behaviour of stationary Markov chains with applications
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+Extreme Value Theory for a Class of Markov Chains with Values in ℝ<sup>d</sup>
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+Point processes, regular variation and weak convergence
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+Q3771297
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+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
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+Moving averages with random coefficients and random coefficient autoregressive models
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+Functionals of clusters of extremes
@@ Property / cites work: Functionals of clusters of extremes / rank @@
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+Approximate distributions of clusters of extremes
@@ Property / cites work: Approximate distributions of clusters of extremes / rank @@
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+The extremal index for a Markov chain
@@ Property / cites work: The extremal index for a Markov chain / rank @@
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+The extremal index of a higher-order stationary Markov chain
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+The distributions of cluster functionals of extreme events in a <i>d</i>th-order Markov chain
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+The behavior of multivariate maxima of moving maxima processes
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