Extremal behaviour of models with multivariate random recurrence representation

Stochastic Processes and their Applications

Volumn 117, Issue 4, 2007, Pages 432-456

  Klüppelberg, Claudia ^a   Pergamenchtchikov, Serguei ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UNIVERSITÉ DE ROUEN   (France)

Author keywords

Autoregressive process; Cluster probability; Extremal index; Heteroscedastic model; Multivariate regular variation; Partial maxima; Random coefficient model; Random recurrence equation; State space representation

Indexed keywords

MATRIX ALGEBRA; POISSON EQUATION; PROBABILITY; PROBABILITY DISTRIBUTIONS; REGRESSION ANALYSIS; STATE SPACE METHODS;

AUTOREGRESSIVE PROCESS; HETEROSCEDASTIC MODELS; MULTIVARIATE REGULAR VARIATIONS; PARTIAL MAXIMA; RANDOM COEFFICIENT MODELS; RANDOM RECURRENCE EQUATIONS;

RANDOM PROCESSES;

EID: 33847353912     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2006.09.001     Document Type: Article

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