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

DOI10.1111/jtsa.12637OpenAlexW3027699176MaRDI QIDQ6134628

Sebastian Mentemeier, Olivier Wintenberger

Publication date: 22 August 2023

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

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

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

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