Extremal behavior of the autoregressive process with ARCH(1) errors
AbstractWe investigate the extremal behavior of a special class of autoregressive processes with ARCH(1) errors given by the stochastic difference equationwhere are i.i.d. random variables. The extremes of such processes occur typically in clusters. We give an explicit formula for the extremal index and the probabilities for the length of a cluster.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 85 (2000)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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EERI Research Paper Series
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