Stochastic Models with Power-Law Tails
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Publication:2792598
DOI10.1007/978-3-319-29679-1zbMath1357.60004OpenAlexW2490074880MaRDI QIDQ2792598
Thomas Mikosch, Ewa Damek, Dariusz Buraczewski
Publication date: 11 March 2016
Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-29679-1
power-law tailsstochastic recurrence equation \(\mathbf{X}_t=\mathbf{A}_t \mathbf{X}_{t-1}+\mathbf{B}_t\)
Extreme value theory; extremal stochastic processes (60G70) Random operators and equations (aspects of stochastic analysis) (60H25) Convergence of probability measures (60B10) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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