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Pregled bibliografske jedinice broj: 833112

A complete convergence theorem for stationary regularly varying multivariate time series


Basrak, Bojan; Tafro, Azra
A complete convergence theorem for stationary regularly varying multivariate time series // Extremes, 19 (2016), 3; 549-560 doi:10.1007/s10687-016-0253-5 (međunarodna recenzija, članak, znanstveni)


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Naslov
A complete convergence theorem for stationary regularly varying multivariate time series

Autori
Basrak, Bojan ; Tafro, Azra

Izvornik
Extremes (1386-1999) 19 (2016), 3; 549-560

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Regular variation · Point processes · Complete convergence · Extremal process

Sažetak
For a class of stationary regularly varying and weakly dependent multi- variate time series (Xn), we prove the so- called complete convergence result for the space–time point processes of the form Nn = ni=1 δ(i/n, Xi/an). As an applica- tion of our main theorem, we give a simple proof of the invariance principle for the corresponding partial maximum process.

Izvorni jezik
Engleski

Znanstvena područja
Matematika



POVEZANOST RADA


Projekti:
HRZZ-IP-2013-11-3526 - Stohastičke metode u analitičkim i primijenjenim problemima (SMAAP) (Vondraček, Zoran, HRZZ - 2013-11) ( POIROT)
HRZZ-UIP-2013-11-1356 - Ekonomski, statistički i politički aspekti tržišta državnih obveznica (SOBOM) (Vizek, Maruška, HRZZ - 2013-11) ( POIROT)

Ustanove:
Prirodoslovno-matematički fakultet, Zagreb

Profili:

Avatar Url Bojan Basrak (autor)

Avatar Url Azra Tafro (autor)

Citiraj ovu publikaciju

Basrak, Bojan; Tafro, Azra
A complete convergence theorem for stationary regularly varying multivariate time series // Extremes, 19 (2016), 3; 549-560 doi:10.1007/s10687-016-0253-5 (međunarodna recenzija, članak, znanstveni)
Basrak, B. & Tafro, A. (2016) A complete convergence theorem for stationary regularly varying multivariate time series. Extremes, 19 (3), 549-560 doi:10.1007/s10687-016-0253-5.
@article{article, year = {2016}, pages = {549-560}, DOI = {10.1007/s10687-016-0253-5}, keywords = {Regular variation · Point processes · Complete convergence · Extremal process}, journal = {Extremes}, doi = {10.1007/s10687-016-0253-5}, volume = {19}, number = {3}, issn = {1386-1999}, title = {A complete convergence theorem for stationary regularly varying multivariate time series}, keyword = {Regular variation · Point processes · Complete convergence · Extremal process} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus


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