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

MaRDI QIDQ701338zbMATH OpenFDO

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

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)

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• 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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