Stochastic Models with Power-Law Tails
From MaRDI portal
power-law tailsstochastic recurrence equation \(\mathbf{X}_t=\mathbf{A}_t \mathbf{X}_{t-1}+\mathbf{B}_t\)
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Convergence of probability measures (60B10) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Random operators and equations (aspects of stochastic analysis) (60H25)
Recommendations
- Simple stochastic models and their power-law type behaviour.
- Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
- Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
- Power-law statistics from nonlinear stochastic differential equations driven by Lévy stable noise
- Theoretical foundations and mathematical formalism of the power-law tailed statistical distributions
- Effects of randomness on power law tails in multiplicatively interacting stochastic processes
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
- The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients
- A power-law model and other models for long-range dependence
Cited in
(only showing first 100 items - show all)- Regularly varying non-stationary Galton-Watson processes with immigration
- Pointwise estimates for first passage times of perpetuity sequences
- Large excursions and conditioned laws for recursive sequences generated by random matrices
- Precise large deviations for random walk in random environment
- Recurrence and transience of contractive autoregressive processes and related Markov chains
- Fluctuation theory for Markov random walks
- Continuity properties and the support of killed exponential functionals
- Stable limits for Markov chains via the principle of conditioning
- A renewal theorem and supremum of a perturbed random walk
- Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
- Heavy tails for an alternative stochastic perpetuity model
- On discrete-time semi-Markov processes
- The dynamics of stochastic mono-molecular reaction systems in stochastic environments
- Precise large deviations for dependent subexponential variables
- Compound Poisson approximation for regularly varying fields with application to sequence alignment
- On conditioning a self-similar growth-fragmentation by its intrinsic area
- On the convergence of the Baum-Katz series for elements of a linear autoregression
- Large deviations of branching process in a random environment
- Harry Kesten's work in probability theory
- Limit theorems for discounted convergent perpetuities
- Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
- Slowly varying asymptotics for signed stochastic difference equations
- Stochastic fixed-point equation and local dependence measure
- Limit theorems for branching processes with immigration in a random environment
- Tail probabilities of random linear functions of regularly varying random vectors
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Complete moment convergence for randomly weighted sums of arrays of rowwise \(m_n\)-extended negatively dependent random variables and its applications
- Rate of escape of conditioned Brownian motion
- Importance sampling for maxima on trees
- Linear fractional Galton-Watson processes in random environment and perpetuities
- Tails of bivariate stochastic recurrence equation with triangular matrices
- Learning and firm dynamics in a stochastic equilibrium
- Precise large deviation estimates for branching process in random environment
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- -strong simulation of the convex minorants of stable processes and meanders
- Exact long time behavior of some regime switching stochastic processes
- Sieving random iterative function systems
- On tail behaviour of stationary second-order Galton-Watson processes with immigration
- Cluster based inference for extremes of time series
- Non-standard limits for a family of autoregressive stochastic sequences
- Homogeneous mappings of regularly varying vectors
- Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions
- Random walks in a moderately sparse random environment
- The density flatness phenomenon
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Inverse exponential decay: stochastic fixed point equation and ARMA models
- Heavy-tails in Kalman filtering with packet losses
- Tail indices for \(AX+B\) recursion with triangular matrices
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- Limit theorems for discounted convergent perpetuities. II
- On the law of terminal value of additive martingales in a remarkable branching stable process
- Large deviation tail estimates and related limit laws for stochastic fixed point equations
- On the Kesten-Goldie constant
- An elliptic PDE with convex solutions
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
- A result on power moments of L\'evy-type perpetuities and its application to the $L_p$-convergence of Biggins' martingales in branching L\'evy processes
- Implicit renewal theory in the arithmetic case
- Null recurrence and transience of random difference equations in the contractive case
- On perpetuities with gamma-like tails
- Iterated random functions and regularly varying tails
- Regularly varying nonstationary second-order Galton-Watson processes with immigration
- Weakly contractive iterated function systems and beyond: a manual
- scientific article; zbMATH DE number 7350834 (Why is no real title available?)
- Random coefficient autoregressive processes and the PUCK model with fluctuating potential
- Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
- Asymptotic behavior of projections of supercritical multi-type continuous-state and continuous-time branching processes with immigration
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Distribution tails of a history-dependent random linear recursion
- On uniqueness of invariant measures for random walks on
- Lyapunov exponent for products of random Ising transfer matrices: the balanced disorder case
- Regularly log-periodic functions and some applications
- Exact simulation of the extrema of stable processes
- Importance sampling of heavy-tailed iterated random functions
- On perpetuities with light tails
- Regular variation in a fixed-point problem for single- and multi-class branching processes and queues
- Moduli of continuity for the Lyapunov exponents of random \(\mathrm{GL}(2)\)-cocycles
- Affine stochastic equation with triangular matrices
- Random difference equations with subexponential innovations
- Interplay of insurance and financial risks in a stochastic environment
- Fractional moments of solutions to stochastic recurrence equations
- Robust inference in conditionally heteroskedastic autoregressions
- An application of risk theory to mortgage lending
- On supercritical branching processes with emigration
- Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- Recurrence and transience of random difference equations in the critical case
- Asymptotically linear iterated function systems on the real line
- Convergence of Baum-Katz series for sums whose terms are elements of a linear \(m\)th order autoregressive sequence
- Sample-path large deviations for a class of heavy-tailed Markov-additive processes
- Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
- Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
- Causality in extremes of time series
- On solutions of the distributional Bellman equation
- Revisiting the product of random variables
- A dual risk model with additive and proportional gains: ruin probability and dividends
- Asymptotic shape of the concave majorant of a Lévy process
- Some variations on the extremal index
- Weak quenched limit theorems for a random walk in a sparse random environment
- Tail behavior of ACD models and consequences for likelihood-based estimation
This page was built for publication: Stochastic Models with Power-Law Tails
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2792598)
