Extremes of autoregressive threshold processes

DOI10.1239/aap/1246886618zbMath1179.62074OpenAlexW2041005355MaRDI QIDQ5320659

Claudia Brachner, Vicky Fasen, Alexander M. Lindner

Publication date: 22 July 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1246886618

zbMATH Keywords

regular variationtail behaviorergodicitypoint processextreme value theorysubexponential distributionexponential tailO-regular variationTAR processSETAR process

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) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Tail behaviour of \(\beta \)-TARCH models ⋮ On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

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