Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes

DOI10.3150/08-BEJ174zbMath1462.60040arXiv1002.4257MaRDI QIDQ605036

Vicky Fasen

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.4257

zbMATH Keywords

regular variationpoint processmixingextreme value theorystochastic recurrence equationgeneralized Ornstein-Uhlenbeck processcontinuous-time GARCH processintegrated generalized Ornstein-Uhlenbeck processsample autocovariance function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Ergodic properties of generalized Ornstein-Uhlenbeck processes ⋮ High-level dependence in time series models ⋮ Method of moment estimation in the COGARCH(1,1) model ⋮ Asymmetric COGARCH processes

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