On the extremal behavior of sub-sampled solutions of stochastic difference equations

zbMath1007.60045MaRDI QIDQ701338

Manuel G. Scotto, Feridun Turkman

Publication date: 23 October 2002

Published in: Portugaliae Mathematica. Nova Série (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49841

zbMATH Keywords

extreme valuesstochastic difference equationARCH processbilinear process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (5)

Clustering of upcrossings of high values ⋮ A note on the asymptotic distribution of the maxima in disaggregated time-series models. ⋮ Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations. ⋮ Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations ⋮ On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails

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