Extremal behaviour of models with multivariate random recurrence representation

DOI10.1016/j.spa.2006.09.001zbMath1118.60060OpenAlexW1968920451MaRDI QIDQ875906

Serguei Pergamenchtchikov, Claudia Klüppelberg

Publication date: 16 April 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.09.001

zbMATH Keywords

extremal indexautoregressive processrandom coefficient modelmultivariate regular variationrandom recurrence equationcluster probability

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Discrete-time Markov processes on general state spaces (60J05) Inventory, storage, reservoirs (90B05) Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items

Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions, Extreme-value asymptotics for affine random walks, Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices, Stochastic volatility models with possible extremal clustering, The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes, On convergence of kernel estimators of density with variable window width by dependent observations, The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains, Regularly varying multivariate time series

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