Regularly varying multivariate time series

Stochastic Processes and their Applications

Volumn 119, Issue 4, 2009, Pages 1055-1080

  Basrak, Bojan ^a   Segers, Johan ^b  

^a UNIVERSITY OF ZAGREB   (Croatia)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Autoregressive process; Clusters of extremes; Extremal index; Factor GARCH model; Heavy tails; Mixing; Multivariate regular variation; Point processes; Stable random vector; Stationary time series; Stochastic recurrence equation; Tail process; Vague convergence; Weak convergence

Indexed keywords

LEARNING ALGORITHMS; RANDOM PROCESSES; STOCHASTIC MODELS;

AUTOREGRESSIVE PROCESS; CLUSTERS OF EXTREMES; EXTREMAL INDEX; FACTOR GARCH MODEL; HEAVY TAILS; MULTIVARIATE REGULAR VARIATION; POINT PROCESSES; STABLE RANDOM VECTOR; STATIONARY TIME SERIES; STOCHASTIC RECURRENCE EQUATION; TAIL PROCESS; VAGUE CONVERGENCE; WEAK CONVERGENCE;

TIME SERIES;

EID: 61849184868     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.05.004     Document Type: Article

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