Tail probabilities for infinite series of regularly varying random vectors
From MaRDI portal
Publication:1002553
Abstract: A random vector with representation is considered. Here, is a sequence of independent and identically distributed random vectors and is a sequence of random matrices, `predictable' with respect to the sequence . The distribution of is assumed to be multivariate regular varying. Moment conditions on the matrices are determined under which the distribution of is regularly varying and, in fact, `inherits' its regular variation from that of the 's. We compute the associated limiting measure. Examples include linear processes, random coefficient linear processes such as stochastic recurrence equations, random sums and stochastic integrals.
Recommendations
- On regular variation for infinitely divisible random vectors and additive processes
- Moving averages of random vectors with regularly varying tails
- Homogeneous mappings of regularly varying vectors
- Regular variation of infinite series of processes with random coefficients
- A characterization of multivariate regular variation.
Cites work
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 3866301 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 53996 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- Modeling teletraffic arrivals by a Poisson cluster process
- Moving averages with random coefficients and random coefficient autoregressive models
- Random difference equations and renewal theory for products of random matrices
- Regular variation for measures on metric spaces
- Regular variation in the tail behaviour of solutions of random difference equations
- Regular variation of GARCH processes.
- Regular variation of the tail of a subordinated probability distribution
- Strict stationarity of generalized autoregressive processes
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- The supremum of a negative drift random walk with dependent heavy-tailed steps.
Cited in
(41)- Regularly varying multivariate time series
- The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
- A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations
- Tail probabilities of random linear functions of regularly varying random vectors
- The tail process and tail measure of continuous time regularly varying stochastic processes
- Tail measures and regular variation
- Tails of bivariate stochastic recurrence equation with triangular matrices
- Maxima and sums of non-stationary random length sequences
- On tail behaviour of stationary second-order Galton-Watson processes with immigration
- Topological crackle of heavy-tailed moving average processes
- Bivariate regular variation among randomly weighted sums in general insurance
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- Exact upper tail probabilities of random series
- Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Palm theory for extremes of stationary regularly varying time series and random fields
- Risk measures and multivariate extensions of Breiman's theorem
- Ruin probabilities under Sarmanov dependence structure
- Tail behavior of randomly weighted sums
- Regular variation of infinite series of processes with random coefficients
- Large deviations for point processes based on stationary sequences with heavy tails
- Moving averages with random coefficients and random coefficient autoregressive models
- scientific article; zbMATH DE number 6906939 (Why is no real title available?)
- Time series regression on integrated continuous-time processes with heavy and light tails
- Markov tail chains
- On the total claim amount for marked Poisson cluster models
- General inverse problems for regular variation
- Hidden regular variation of moving average processes with heavy-tailed innovations
- On regular variation for infinitely divisible random vectors and additive processes
- Functional convergence for moving averages with heavy tails and random coefficients
- Heavy-tailed branching process with immigration
- A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
- Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
- High-level dependence in time series models
- Clustering of large deviations events in heavy-tailed moving average processes: the catastrophe principle in the short-memory case
- On the asymptotics of extremal ^p-blocks cluster inference
- Tail asymptotics and precise large deviations for some Poisson cluster processes
- Aggregation of autoregressive random fields and anisotropic long-range dependence
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Extremal dependence measure and extremogram: the regularly varying case
- On series representations of infinitely divisible random vectors
This page was built for publication: Tail probabilities for infinite series of regularly varying random vectors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002553)
