Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model

DOI10.1111/JTSA.12637MaRDI QIDQ6134628zbMATH OpenOpenAlexFDO

Authors Sebastian Mentemeier, Olivier Wintenberger

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12637

zbMATH Keywords

stochastic recurrence equationsmultivariate regular variationmultivariate ARCHnon-standard regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Inference from stochastic processes (62Mxx)

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Cites work

• scientific article; zbMATH DE number 3942642 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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• Extreme Value Theory for a Class of Markov Chains with Values in ℝ^d
• Heavy-Tail Phenomena
• Implicit renewal theory and tails of solutions of random equations
• Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
• Limit theory for multivariate sample extremes
• Markov tail chains
• On the Distribution of the Quotient of Two Chance Variables
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes
• Pointwise estimates for first passage times of perpetuity sequences
• Random difference equations and renewal theory for products of random matrices
• Regular variation in the tail behaviour of solutions of random difference equations
• Regularly varying multivariate time series
• Stability of perpetuities
• Stochastic Models with Power-Law Tails
• Tail-homogeneity of stationary measures for some multidimensional stochastic recursions

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