Multivariate MA($\infty$) processes with heavy tails and random coefficients - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Multivariate MA($\infty$) processes with heavy tails and random coefficients

Résumé

Many interesting processes share the property of multivariate regular variation. This property is equivalent to existence of the tail process introduced by B. Basrak and J. Segers \cite{Basrak09} to describe the asymptotic behavior for the extreme values of a regularly varying time series. We apply this theory to multivariate MA($\infty$) processes with random coefficients.
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Dates et versions

hal-00624123 , version 1 (15-09-2011)

Identifiants

  • HAL Id : hal-00624123 , version 1

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Shuyan Liu, Johan Segers. Multivariate MA($\infty$) processes with heavy tails and random coefficients. 2010. ⟨hal-00624123⟩
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