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Extreme values of particular nonlinear processes

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Author Info

  • Dominique Guegan

    ()
    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

  • Sophie A. Ladoucette

    ()
    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

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    Abstract

    We investigate the asymptotic behavior of the maxima of a general class of deterministic chaotic processes –including the Tent map and the Logistic map -, of noisy chaotic processes, and of the Gaussian long memory k-factor Genebauer processes.

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    File URL: http://halshs.archives-ouvertes.fr/docs/00/20/13/20/PDF/guegan-ladoucette_CRAS.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number halshs-00201320.

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    Date of creation: 2002
    Date of revision:
    Publication status: Published, C.R.A.S., 2002, 335, 73 - 78
    Handle: RePEc:hal:journl:halshs-00201320

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00201320/en/
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    Web page: http://hal.archives-ouvertes.fr/

    Related research

    Keywords: Chaotic system – Extreme value theory – long memory processes – GIGARCH.;

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    Cited by:
    1. Dominique Guegan, 2007. "Chaos in economics and finance," Post-Print halshs-00187885, HAL.
    2. Dominique Guegan, 2009. "Chaos in Economics and Finance," Post-Print halshs-00375713, HAL.

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