Tail processes for stable-regenerative multiple-stable model

DOI10.3150/22-BEJ1582MaRDI QIDQ6635734zbMATH OpenFDO

Authors Shuyang Bai, Yizao Wang

Publication date 12 November 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/22-BEJ1582

zbMATH Keywords

extremal indexlong-range dependencemultiple integralphase transitionregular variationrenewal processshort-range dependencestationary processestail process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Renewal theory (60K05)

Recommendations

• Phase transition for extremes of a family of stationary multiple-stable processes
• Long range dependence for stable random processes
• A functional non-central limit theorem for multiple-stable processes with long-range dependence
• Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
• Extremal theory for long range dependent infinitely divisible processes

Cites work

• A counterexample concerning the extremal index
• A functional non-central limit theorem for multiple-stable processes with long-range dependence
• An asymptotic evaluation of the tail of a multiple symmetric - stable integral
• Choquet random sup-measures with aggregations
• Classes of mixing stable processes
• Contraction and decoupling inequalities for multilinear forms and \(U\)-statistics
• Extremal theory for long range dependent infinitely divisible processes
• Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
• Heavy tailed time series
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 53996 (Why is no real title available?)
• scientific article; zbMATH DE number 1342368 (Why is no real title available?)
• scientific article; zbMATH DE number 1418383 (Why is no real title available?)
• Limit theorems for conservative flows on multiple stochastic integrals
• Limit theorems for long-memory flows on Wiener chaos
• Long-memory processes. Probabilistic properties and statistical methods
• Long-Range Dependence and Self-Similarity
• Multiple stochastic integrals with respect to symmetric infinitely divisible random measures
• Multiple Wiener integral
• One-sided local large deviation and renewal theorems in the case of infinite mean
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Random multilinear forms
• Regularly varying multivariate time series
• Stationary self-similar extremal processes
• Stochastic processes and long range dependence
• The sample autocorrelations of heavy-tailed processes with applications to ARCH

Cited in

(4)

• Phase transition for extremes of a family of stationary multiple-stable processes
• Multiple extremal integrals
• Cluster random fields and random-shift representations
• A remarkable example on clustering of extremes for regularly-varying stochastic processes

This page was built for publication: Tail processes for stable-regenerative multiple-stable model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6635734)