Functional regular variation of Lévy-driven multivariate mixed moving average processes
نویسندگان
چکیده
منابع مشابه
Functional Regular Variation of Lévy-driven Multivariate Mixed Moving Average Processes
We consider the functional regular variation in the space D of càdlàg functions of multivariate mixed moving average (MMA) processes of the type Xt = ∫ ∫ f(A, t− s)Λ(dA, ds). We give sufficient conditions for an MMA process (Xt) to have càdlàg sample paths. As our main result, we prove that (Xt) is regularly varying in D if the driving Lévy basis is regularly varying and the kernel function f s...
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Multivariate Lévy-driven mixed moving average (MMA) processes of the type Xt = ∫ ∫ f(A, t − s)Λ(dA, ds) cover a wide range of well known and extensively used processes such as Ornstein-Uhlenbeck processes, superpositions of Ornstein-Uhlenbeck (supOU) processes, (fractionally integrated) CARMA processes and increments of fractional Lévy processes. In this paper, we introduce multivariate MMA pro...
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ژورنال
عنوان ژورنال: Extremes
سال: 2013
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-012-0165-y