Spectral tail processes and max-stable approximations of multivariate regularly varying time series
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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We use tail dependence functions to study tail dependence for regularly varying RV time series. First, tail dependence functions about RV time series are deduced through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain the expressions of the tail dependence parameters based...
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A random vector X with representation X = ∑ j≥0 AjZj is considered. Here, (Zj) is a sequence of independent and identically distributed random vectors and (Aj) is a sequence of random matrices, ‘predictable’ with respect to the sequence (Zj). The distribution of Z1 is assumed to be multivariate regular varying. Moment conditions on the matrices (Aj) are determined under which the distribution o...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2019
ISSN: 0304-4149
DOI: 10.1016/j.spa.2018.06.010