Sample correlation behavior for the heavy tailed general bilinear process

DOI10.1080/15326340008807586MaRDI QIDQ4484845zbMATH OpenOpenAlexFDO

Authors Eric Van den Berg, Sidney I. Resnick

Publication date 21 February 2001

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/1813/9094

zbMATH Keywords

model selectionheavy tailspoint processessample correlationbilinear model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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• Growth rates of sample covariances of stationary symmetric \(\alpha \)-stable processes associated with null recurrent Markov chains
• Extremes of Volterra series expansions with heavy-tailed innovations
• The sample ACF of a simple bilinear process
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations

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