Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise-Reference-Cited by-同舟云学术

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Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise

Published:2022-01 Issue: Volume:143 Page:55-88
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Durieu Olivier,Wang Yizao^ORCID

Funder

Army Research Office

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference44 articles.

1. Probability Approximations Via the Poisson Clumping Heuristic;Aldous,1989

2. Handbook of Financial Time Series;Andersen,2009

3. Regular variation of GARCH processes;Basrak;Stochastic Process. Appl.,2002

4. An invariance principle for sums and record times of regularly varying stationary sequences;Basrak;Probab. Theory Related Fields,2018

5. Regularly varying multivariate time series;Basrak;Stochastic Process. Appl.,2009

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Phase transition for extremes of a family of stationary multiple-stable processes;Annales de l'Institut Henri Poincaré, Probabilités et Statistiques;2024-08-01

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