Extremal behaviour of models with multivariate random recurrence representation

DOI10.1016/J.SPA.2006.09.001MaRDI QIDQ875906zbMATH OpenOpenAlexFDO

Authors Claudia Klüppelberg, Serguei Pergamenchtchikov

Publication date 16 April 2007

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

Full work available at URL https://doi.org/10.1016/j.spa.2006.09.001

zbMATH Keywords

extremal indexautoregressive processrandom coefficient modelmultivariate regular variationrandom recurrence equationcluster probability

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Discrete-time Markov processes on general state spaces (60J05) Inventory, storage, reservoirs (90B05) Random operators and equations (aspects of stochastic analysis) (60H25)

Recommendations

• Extremes and clustering of nonstationary max-AR(1) sequences
• Large deviations for point processes based on stationary sequences with heavy tails
• scientific article; zbMATH DE number 4109747
• Inference for the limiting cluster size distribution of extreme values
• scientific article; zbMATH DE number 934407
• Large exceedences for uniformly recurrent Markov-additive processes and strong-mixing stationary processes
• On the multivariate extremal index
• Extremal behavior of recurrent random sequences
• Complete convergence and records for dynamically generated stochastic processes

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3452925 (Why is no real title available?)
• A characterization of multivariate regular variation.
• Extremal behavior of the autoregressive process with ARCH(1) errors
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Extremes and related properties of random sequences and processes
• Implicit renewal theory and tails of solutions of random equations
• Iterated Random Functions
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Markov chains and stochastic stability
• Maxima and exceedances of stationary Markov chains
• On Kesten's counterexample to the Cramér-Wold device for regular variation
• On the foundations of multivariate heavy-tail analysis
• On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Random difference equations and renewal theory for products of random matrices
• Regular variation of GARCH processes.
• Renewal theory for functionals of a Markov chain with compact state space.
• Stability of perpetuities
• The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.

Cited in

(12)

• scientific article; zbMATH DE number 1437502 (Why is no real title available?)
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Extremal behavior of recurrent random sequences
• The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
• Large excursions and conditioned laws for recursive sequences generated by random matrices
• Stochastic volatility models with possible extremal clustering
• Extreme-value asymptotics for affine random walks
• Recurrence and Transience of Near-Critical Multivariate Growth Models: Criteria and Examples
• Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
• Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
• Regularly varying multivariate time series
• On convergence of kernel estimators of density with variable window width by dependent observations

This page was built for publication: Extremal behaviour of models with multivariate random recurrence representation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q875906)