User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Brachner, C., Fasen, V., and Lindner, A. 
Title:
Extremes of autoregressive threshold processes 
Abstract:
In this paper we study the tail and the extremal behavior of stationary solutions of autoregressive threshold (TAR) models. It is shown that a regularly varying noise sequence leads in general only to an O-regularly varying tail of the stationary solu- tion. Under further conditions on the partition, it is however shown that TAR(S, 1) models of order 1 with S regimes have regularly varying tails, provided the noise se- quence is regularly varying. In these cases, the finite dimensional...    »
 
Keywords:
ergodic, exponential tail, extreme value theory, O-regular variation, point process, regular variation, SETAR process, subexponential distribution, tail behavior, TAR process 
Journal title:
Adv. in Appl. Probab. 
Year:
2009 
Journal volume:
41 
Journal issue:
Pages contribution:
428-451 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text