Extremes of Volterra series expansions with heavy-tailed innovations

DOI10.1016/j.na.2005.05.006zbMath1082.60040OpenAlexW2071521216WikidataQ58650802 ScholiaQ58650802MaRDI QIDQ2573537

Feridun Turkman, Manuel G. Scotto

Publication date: 22 November 2005

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.05.006

zbMATH Keywords

point processespolynomial systemsextremal indexextremal behavior

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

On the extremes of a class of non-linear processes with heavy tailed innovations

Cites Work

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• A simple general approach to inference about the tail of a distribution
• Limit theory for bilinear processes with heavy-tailed noise
• Extremes of bilinear time series models
• Sample correlation behavior for the heavy tailed general bilinear process

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