High-level dependence in time series models |
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Authors: | Vicky Fasen Claudia Klüppelberg Martin Schlather |
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Institution: | (1) Department of Mathematics Education, Chungbuk National University, 12, Gaeshin-dong, Heungduk-ku, Cheongju, Chungbuk, 361-763, Republic of Korea;(2) Department of Mathematics and Telecommunication Mathematics Research Center, Korea University, 1, Anam-dong, Sungbuk-ku, Seoul, 136-701, Republic of Korea |
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Abstract: | We present several notions of high-level dependence for stochastic processes, which have appeared in the literature. We calculate
such measures for discrete and continuous-time models, where we concentrate on time series with heavy-tailed marginals, where
extremes are likely to occur in clusters. Such models include linear models and solutions to random recurrence equations;
in particular, discrete and continuous-time moving average and (G)ARCH processes. To illustrate our results we present a small
simulation study. |
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Keywords: | |
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