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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klüppelberg, C., Pergamenchtchikov 
Titel:
Extremal behavior of models with multivariate random recurrence representation. 
Abstract:
For the solution Y of a multivariate random recurrence model Yn = AnYn−1n in Rq we investigate the extremal behaviour of the process yn=z′*Yn, nε N, for z*ε Rq with |z| = 1. This extends results for positive matrices An. Moreover, we obtain explicit representations of the compound Poisson limit of point processes of exceedances over high thresholds in terms of its Poisson intensity and its jump distribution, which represents the cluster behaviour of such models on high levels. As a principal...    »
 
Stichworte:
autoregressive model, cluster probability, extremal index,, heteroscedastic model, partial maxima, random coefficient, autoregressive process, random recurrence equation, multivariate regular variation, state space representation 
Zeitschriftentitel:
Stoch. Proc. Appl 
Jahr:
2007 
Band / Volume:
117 
Heft / Issue:
Seitenangaben Beitrag:
432-456 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 07 
Format:
Text