Extremal behavior of recurrent random sequences

DOI10.3103/S0027132208050021zbMath1304.60061MaRDI QIDQ2513006

O. C. Novitskaya, E. B. Yatsalo

Publication date: 2 February 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

Bounds for the extremal index of stochastic recurrent sequences ⋮ Uniform estimator of the extremal index of stochastic recurrent sequences ⋮ Usage of processes with continuous time in the study of stochastic recurrent sequences

Cites Work

• Extremes and related properties of random sequences and processes
• Random difference equations and renewal theory for products of random matrices
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
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