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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Brachner, C., Fasen, V., and Lindner, A. 
Titel:
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...    »
 
Stichworte:
ergodic, exponential tail, extreme value theory, O-regular variation, point process, regular variation, SETAR process, subexponential distribution, tail behavior, TAR process 
Zeitschriftentitel:
Adv. in Appl. Probab. 
Jahr:
2009 
Band / Volume:
41 
Heft / Issue:
Seitenangaben Beitrag:
428-451 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text