On the extremes of a class of non-linear processes with heavy tailed innovations

DOI10.1016/J.NA.2006.08.028MaRDI QIDQ2373836zbMATH OpenOpenAlexFDO

Authors Manuel G. Scotto

Publication date 16 July 2007

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2006.08.028

zbMATH Keywords

extremal behaviorextremal indexpoint processVolterra series expansions

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• A simple general approach to inference about the tail of a distribution
• An introduction to bispectral analysis and bilinear time series models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Convolution tails, product tails and domains of attraction
• Extreme value theory for moving average processes
• Extremes and related properties of random sequences and processes
• Extremes of Volterra series expansions with heavy-tailed innovations
• Generalized autoregressive conditional heteroscedasticity
• 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 3238248 (Why is no real title available?)
• Limit theory for bilinear processes with heavy-tailed noise
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• On polynomial approximation for strictly stationary processes
• Sample correlation behavior for the heavy tailed general bilinear process
• The sample ACF of a simple bilinear process

Cited in

(3)

• Extremes for solutions to stochastic difference equations with regularly varying tails
• Extremes of bilinear time series models
• On the extremes of a class of nonstationary processes with heavy tailed innovations

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