Extremal behavior of the autoregressive process with ARCH(1) errors (Q1613588)
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scientific article; zbMATH DE number 1792498
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extremal behavior of the autoregressive process with ARCH(1) errors |
scientific article; zbMATH DE number 1792498 |
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Extremal behavior of the autoregressive process with ARCH(1) errors (English)
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29 August 2002
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ARCH model
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autoregressive processes
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compound Poisson processes
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coupling
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extremal behavior
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extremal index
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Frechet distribution
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heavy tails
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heteroscedastic homogeneous Markov processes
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recurrent Harris chains
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separating sequence
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strong mixing
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0.9100914
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0.8954024
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0.89040434
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0.87665486
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