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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Stelzer, R. 
Titel:
Multivariate Markov-switching ARMA processes with regularly varying noise 
Abstract:
The tail behaviour of stationary Rd-valued Markov-Switching ARMA processes driven by a regularly varying noise is analysed. It is shown that under appropriate summability conditions the MS-ARMA process is again regularly varying as a sequence. Moreover, the feasible stationarity condition given in Stelzer (2006) is extended to a criterion for regular variation. Our results complement in particular those of Saporta (2005) where regularly varying tails of one-dimensional MS-AR(1) processes com...    »
 
Stichworte:
heavy tails, regular variation, non-linear time series models, stochastic difference equation 
Zeitschriftentitel:
Journal of Multivariate Analysis, 
Jahr:
2008 
Band / Volume:
99 
Heft / Issue:
Seitenangaben Beitrag:
1177-1190 
Reviewed:
ja 
Sprache:
en 
Status:
Preprint / submitted 
Semester:
SS 08 
Format:
Text