Multivariate MA($\infty$) processes with heavy tails and random coefficients - Archive ouverte HAL Accéder directement au contenu
Communication Dans Un Congrès Année : 2012

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

Résumé

To present a property shared by many time series which can model the extremal behavior of temporal phenomena. To provide a new tool to describe the asymptotic behavior for the extreme values of a heavy tailed time series.
Fichier non déposé

Dates et versions

hal-00695509 , version 1 (08-05-2012)

Identifiants

  • HAL Id : hal-00695509 , version 1

Citer

Shuyan Liu, Johan Segers. Multivariate MA($\infty$) processes with heavy tails and random coefficients. 10th INTERNATIONAL CONFERENCE ON OPERATIONS RESEARCH, Habana, Cuba, Mar 2012, Cuba. ⟨hal-00695509⟩
37 Consultations
0 Téléchargements

Partager

Gmail Facebook X LinkedIn More