Regularly varying multivariate time series (CROSBI ID 152589)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Basrak, Bojan ; Segers, Johan
engleski
Regularly varying multivariate time series
Extreme values of a stationary, multivariate time series may exhibit dependence across coordinates and over time. The aim of this paper is to offer a new and po- tentially useful tool called tail process to describe and model such extremes. The key property is the following fact: existence of the tail process is equivalent to mul- tivariate regular variation of finite cuts of the original process. Certain remarkable properties of the tail process are exploited to shed new light on known results on certain point processes of extremes. The theory is shown to be applicable with great ease to stationary solutions of stochastic autoregressive processes with random coef- ficient matrices, an interesting special case being a recently proposed factor GARCH model. In this class of models, the distribution of the tail process is calculated by a combination of analytical methods and a novel sampling algorithm.
autoregressive process ; clusters of extremes ; extremal index ; factor
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Podaci o izdanju
119 (4)
2009.
1055-1080
objavljeno
0304-4149
1879-209X
10.1016/j.spa.2008.05.004