Functional regular variation of Lévy-driven multivariate mixed moving average processes

DOI10.1007/S10687-012-0165-YMaRDI QIDQ385628zbMATH OpenOpenAlexFDO

Authors Martin Moser, Robert Stelzer

Publication date 2 December 2013

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.0639

zbMATH Keywords

heavy tailsfunctional regular variationmixed moving average processLévy basiscàdlàg sample paths

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We consider the functional regular variation in the space $mathbbD$ of c`adl`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t=intintf(A,t-s)Lambda(dA,ds)$. We give sufficient conditions for an MMA process $(X_t)$ to have c`adl`ag sample paths. As our main result, we prove that $(X_t)$ is regularly varying in $mathbbD$ if the driving L'evy basis is regularly varying and the kernel function $f$ satisfies certain natural (continuity) conditions. Finally, the special case of supOU processes, which are used, e.g., in applications in finance, is considered in detail.

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Cited in

(13)

• On operator fractional Lévy motion: integral representations and time-reversibility
• Stationary and multi-self-similar random fields with stochastic volatility
• Extremes of regularly varying Lévy-driven mixed moving average processes
• Integrability conditions for space-time stochastic integrals: theory and applications
• Weak dependence and GMM estimation of supOU and mixed moving average processes
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• On the conditional small ball property of multivariate Lévy-driven moving average processes
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