Tails of bivariate stochastic recurrence equation with triangular matrices

DOI10.1016/j.spa.2022.04.008zbMath1495.60044arXiv2110.04546OpenAlexW3206371137WikidataQ113863842 ScholiaQ113863842MaRDI QIDQ2145773

Muneya Matsui, Ewa Damek

Publication date: 20 June 2022

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

Full work available at URL: https://arxiv.org/abs/2110.04546

zbMATH Keywords

regular variationautoregressive modelstriangular matrixstochastic recurrence equationKesten's theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Random operators and equations (aspects of stochastic analysis) (60H25)

Uses Software

• QRM

Cites Work

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