A characterization of multivariate regular variation

Annals of Applied Probability

Volumn 12, Issue 3, 2002, Pages 908-920

  Basrak, Bojan ^a   Davis, Richard A ^b   Mikosch, Thomas ^c  

^a EURANDOM   (Netherlands)

^b Department of Environmental and Radiological Health Sciences   (United States)

^c UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

GARCH process; Heavy tailed distribution; Multivariate regular variation; Point process; Stochastic recurrence equation; Vague convergence

Indexed keywords

EID: 0036392461     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1031863174     Document Type: Article

References (20)

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