Extremal behaviour of models with multivariate random recurrence representation

Claudia Klüppelberg and Serguei Pergamenchtchikov

Stochastic Processes and their Applications, 2007, vol. 117, issue 4, 432-456

Abstract: For the solution Y of a multivariate random recurrence model Yn=AnYn-1+[zeta]n in we investigate the extremal behaviour of the process , , for with z*=1. This extends results for positive matrices An. 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.

Keywords: Cluster; probability; Extremal; index; Heteroscedastic; model; Partial; maxima; Random; coefficient; model; Autoregressive; process; Random; recurrence; equation; Multivariate; regular; variation; State; space; representation (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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