Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
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Publication:605036
DOI10.3150/08-BEJ174zbMath1462.60040arXiv1002.4257MaRDI QIDQ605036
Publication date: 12 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1002.4257
regular variationpoint processmixingextreme value theorystochastic recurrence equationgeneralized Ornstein-Uhlenbeck processcontinuous-time GARCH processintegrated generalized Ornstein-Uhlenbeck processsample autocovariance function
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)
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