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Markov Tail Chains

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  • janssen, Anja
  • Segers, Johan

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  • janssen, Anja & Segers, Johan, 2013. "Markov Tail Chains," LIDAM Discussion Papers ISBA 2013017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2013017
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    File URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2013_17_segers_markov.pdf
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    References listed on IDEAS

    as
    1. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
    2. Basrak, Bojan & Segers, Johan, 2009. "Regularly varying multivariate time series," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1055-1080, April.
    3. Paola Bortot & Stuart Coles, 2003. "Extremes of Markov chains with tail switching potential," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 851-867, November.
    4. Meinguet, Thomas & Segers, Johan, 2010. "Regularly varying time series in Banach spaces," LIDAM Discussion Papers ISBA 2010002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 213-224, August.
    6. Collamore, Jeffrey F. & Vidyashankar, Anand N., 2013. "Tail estimates for stochastic fixed point equations via nonlinear renewal theory," Stochastic Processes and their Applications, Elsevier, vol. 123(9), pages 3378-3429.
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    Cited by:

    1. Rafal Kulik & Philippe Soulier, 2013. "Heavy tailed time series with extremal independence," Papers 1307.1501, arXiv.org, revised Oct 2014.

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