Regularly varying multivariate time series

DOI10.1016/J.SPA.2008.05.004zbMath1161.60319arXiv0707.3989OpenAlexW1980010321MaRDI QIDQ1016605

Johan Segers, Bojan Basrak

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.3989

zbMATH Keywords

weak convergencepoint processesmixingheavy tailsextremal indexstable random vectorstationary time seriesautoregressive processvague convergencemultivariate regular variationstochastic recurrence equationtail processclusters of extremesfactor GARCH model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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