Polar decomposition of regularly varying time series in star-shaped metric spaces
نویسندگان
چکیده
منابع مشابه
Regularly varying multivariate time series
Abstract: A multivariate, stationary time series is said to be jointly regularly varying if all its finite-dimensional distributions are multivariate regularly varying. This property is shown to be equivalent to weak convergence of the conditional distribution of the rescaled series given that, at a fixed time instant, its distance to the origin exceeds a threshold tending to infinity. The limi...
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ژورنال
عنوان ژورنال: Extremes
سال: 2017
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-017-0287-3