Limit theory for bilinear processes with heavy-tailed noise

DOI10.1214/aoap/1035463328zbMath0879.60053OpenAlexW1973940563MaRDI QIDQ1354837

Richard A. Davis, Sidney I. Resnick

Publication date: 22 January 1998

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1035463328

zbMATH Keywords

extreme valuespoint processessample correlationbilinear and nonlinear processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

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