Extremal behaviour of models with multivariate random recurrence representation

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:117

Article

Klueppelberg, Claudia ; Pergamenchtchikov, Serguei

关键词: cluster probability;    extremal index;    heteroscedastic model;    partial maxima;    random coefficient model;    autoregressive process;    random recurrence equation;    multivariate regular variation;    state space representation;   

DOI  :  10.1016/j.spa.2006.09.001

来源: Elsevier

【 摘 要 】

For the solution Y of a multivariate random recurrence model Y-n = A(n)Y(n-1) + zeta(n) in R-q we investigate the extremal behaviour of the process y(n) = Z(*)' Y-n, n is an element of N, for z(*) is an element of R-q with vertical bar z(*)vertical bar = 1. This extends results for positive matrices A(n). Moreover, we obtain explicit representations of the compound Poisson limit of point processes of exceedances over high thresholds in terms of its Poisson intensity and its jump distribution, which represents the cluster behaviour of such models on high levels. As a principal example we investigate a random coefficient autoregressive process. (c) 2006 Elsevier B.V. All rights reserved.

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