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Title:

Multivariate Markov-switching ARMA processes with regularly varying noise

Document type:
Zeitschriftenaufsatz
Author(s):
Stelzer, R.
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 comin...     »
Keywords:
heavy tails, regular variation, non-linear time series models, stochastic difference equation
Journal title:
Journal of Multivariate Analysis,
Year:
2008
Journal volume:
99
Journal issue:
6
Pages contribution:
1177-1190
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1016/j.jmva.2007.07.001
WWW:
Journal of Multivariate Analysis
Status:
Preprint / submitted
Semester:
SS 08
Format:
Text
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