Regularly varying multivariate time series

Author:

Basrak Bojan,Segers Johan

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference35 articles.

1. A characterization of multivariate regular variation;Basrak;Annals of Applied Probability,2002

2. Regular variation of GARCH processes;Basrak;Stochastic Processes and their Applications,2002

3. Extremes of Markov chains with tail switching potential;Bortot;Journal of the Royal Statistical Society, Series B,2003

4. On some limit theorems similar to the arc-sine law;Breiman;Theory of Probability and its Applications,1965

5. Point process and partial sum convergence for weakly dependent random variables with infinite variance;Davis;Annals of Probability,1995

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