Extremal properties of multivariate moving average processes with random coefficients (CROSBI ID 536581)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Basrak, Bojan ; Segers, Johan
engleski
Extremal properties of multivariate moving average processes with random coefficients
We consider a class of multivariate moving average processes with stationary random matrix coefficients. If the noise sequence is regularly varying and independent of the sequence of random coefficients which are of lighter tail, the resulting stationary process is necessarily regularly varying. This result has been obtained in the case of iid coefficients by Resnick and Willekens (1991), but it holds more generally. It is known that the extremes of such process are in the maximum domain of attraction of Frechet distribution. However, we show that it is possible to analyze the extremal behavior of such processes in much greater detail. In particular, we present closed form expressions for the extremal index and the asymptotic cluster size probabilities for the norm of such processes.
Time series; moving average; regular variation; tail processes; extremal index
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Podaci o prilogu
2007.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of of the 56th session of the International Statistical Institute at Lisbon.
Lisabon:
Podaci o skupu
The 56th session of the International Statistical Institute at Lisbon.
predavanje
22.08.2007-29.08.2007
Lisabon, Portugal