Extremes of autoregressive threshold processes
نویسندگان
چکیده
منابع مشابه
Testing and Modeling Threshold Autoregressive Processes
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملThreshold Quantile Autoregressive Models
We study in this article threshold quantile autoregressive processes. In particular we propose estimation and inference of the parameters in nonlinear quantile processes when the threshold parameter defining nonlinearities is known for each quantile, and also when the parameter vector is estimated consistently. We derive the asymptotic properties of the nonlinear threshold quantile autoregressi...
متن کاملExtremes of supOU processes
Barndorff-Nielsen and Shephard [3] investigate supOU processes as volatility models. Empirical volatility has tails heavier than normal, long memory in the sense that the empirical autocorrelation function decreases slower than exponential, and exhibits volatility clusters on high levels. We investigate supOU processes with respect to these stylized facts. The class of supOU processes is vast a...
متن کاملOn the existence of Hilbert valued periodically correlated autoregressive processes
In this paper we provide sufficient condition for existence of a unique Hilbert valued ($mathbb{H}$-valued) periodically correlated solution to the first order autoregressive model $X_{n}=rho _{n}X_{n-1}+Z_{n}$, for $nin mathbb{Z}$, and formulate the existing solution and its autocovariance operator. Also we specially investigate equivalent condition for the coordinate process...
متن کاملExtremes of Independent Gaussian Processes
For every n ∈ N, let X1n, . . . , Xnn be independent copies of a zero-mean Gaussian process Xn = {Xn(t), t ∈ T}. We describe all processes which can be obtained as limits, as n → ∞, of the process an(Mn − bn), where Mn(t) = maxi=1,...,n Xin(t) and an, bn are normalizing constants. We also provide an analogous characterization for the limits of the process anLn, where Ln(t) = mini=1,...,n |Xin(t)|.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2009
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1246886618