On the extremal behavior of sub-sampled solutions of stochastic difference equations

zbMATH Open1007.60045MaRDI QIDQ701338FDOQ701338

Authors: Manuel G. Scotto, Feridun Turkman 

Publication date: 23 October 2002

Published in: Portugaliae Mathematica. Nova Série (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49841

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zbMATH Keywords

extreme valuesstochastic difference equationARCH processbilinear process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Cited In (6)

• On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
• A note on the asymptotic distribution of the maxima in disaggregated time-series models.
• Clustering of upcrossings of high values
• Extremes for solutions to stochastic difference equations with regularly varying tails
• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations

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