On the extremal behavior of sub-sampled solutions of stochastic difference equations

MaRDI QIDQ701338zbMATH OpenFDO

Authors Manuel G. Scotto, Feridun Turkman

Publication date 23 October 2002

Published in Portugaliae Mathematica. Nova Série (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/49841

zbMATH Keywords

ARCH processbilinear processextreme valuesstochastic difference equation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Review text

Let \(\{X_k\}\) be a process satisfying the stochastic difference equation \(X_k=A_kX_{k-1} +B_k\), \(k=1,2,\dots\), where \(\{A_k,B_k\}\) are i.i.d bivariate random variables. The authors define the sub-sampled series \(Y_k= X_{Mk}\), \(k=1,2, \dots,\) corresponding to a fixed systematic sampling interval \(M>1\). They discuss conditions for the existence of stationary solutions of the sub-sampled process \(\{Y_k\}\), and analyse the tail behavior of the stationary distribution of \(Y_k\) when the random vectors \(\{A_k,B_k\}\) have different tail behavior. Finally, the extremal behavior of the sub-sampled process \(\{Y_k\}\) is investigated. The results are used to the study of the tail and extremal behavior of sub-sampled bilinear processes and sub-sampled ARCH processes.

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• On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
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