Extremes for Solutions to Stochastic Difference Equations with Regularly Varying Tails
The main purpose of this paper is to look at the extremal properties of Xk = X∞ j=1 j Y−1 s=1 Ak−s ! Bk−j , k ∈ Z , where (Ak, Bk)k∈Z is a periodic sequence of independent R 2 +-valued random pairs. The so-called complete convergence theorem we prove enable us to give in detail the weak limiting be...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2007-12-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/50 |