Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations

Manuel G. Scotto

Type: Article

Publication Date: 2004-10-15

Citations: 9

DOI: https://doi.org/10.1016/j.spa.2004.09.009

View Publication

Locations

Stochastic Processes and their Applications - View

Similar Works

Action	Title	Year	Authors
+	Stochastic Difference Equations and Applications	2011	Alexandra Rodkina Cónall Kelly
+ PDF Chat	Extreme value estimation for discretely sampled continuous processes	2018	Holger Drees Laurens de Haan K. F. Turkman
+	Extremes for Solutions to Stochastic Difference Equations with Regularly Varying Tails	2007	Manuel G. Scotto
+	Theory of Stochastic Differential Equations with Jumps and Applications	2005	Situ Rong
+	Stochastic Differential Equations and Numerical Applications	2014	Matthew Rajotte
+	Large deviations of stochastic systems and applications	2012	Qi He
+	Sample Solutions of Stochastic Ordinary Differential Equations	1984	K. Waling
+	Theory and Applications of Stochastic Differential Equations.	1984	Maury Bramson Z. Schuss
+	Stochastic Differential Equations and Applications	2010	Avner Friedman
+	Stochastic Differential Equations and Applications Ed. 2	2007	Xia Mao
+ PDF Chat	Numerical approximation of SDEs with fractional noise and distributional drift	2024	Ludovic Goudenège El Mehdi Haress Alexandre Richard
+	Stochastic Processes and Applications	2018	Kristoffer Lindensjö
+	Discrete approximations for stochastic differential equations	1991	Yoshihiro Saito Taketomo Mitsui
+	Stochastic Differential Equations	2002	Klaus Bichteler
+	Stochastic Differential Equations	2016	Hiroyuki Matsumoto Setsuo Taniguchi
+	A Class of Stochastic Differential Equations	2007
+	Asymptotic Γ-distribution for stochastic difference equations	1992	Götz Kersting
+	Extremes on different grids and continuous time of stationary processes	2018	Chengxiu Ling Zuoxiang Peng Zhongquan Tan
+ PDF Chat	Large Deviations for Stochastic Differential Equations Driven by Semimartingales	2024	Qingdao Huang Wei Wang Jinqiao Duan
+	Stochastic point processes	1990	R. V. Ambartzumian

Works That Cite This (6)

Action	Title	Year	Authors
+	Uniform AR(1) Processes and Maxima on Partial Samples	2014	Pavle Mladenović Lenka Živadinović
+	Extreme values of the uniform order 1 autoregressive processes and missing observations	2017	Lenka Glavaš Pavle Mladenović Gennady Samorodnitsky
+	Extreme values of linear processes with heavy-tailed innovations and missing observations	2020	Lenka Glavaš Pavle Mladenović
+	Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution	2023	Lenka Glavaš Pavle Mladenović
+	Distribution tails of a history-dependent random linear recursion	2022	Alexander Roitershtein Zirou Zhou
+	Maximum of a partial sample in the uniform AR(1) processes	2009	Pavle Mladenović

Works Cited by This (13)

Action	Title	Year	Authors
+ PDF Chat	Limit theory for bilinear processes with heavy-tailed noise	1996	Richard A. Davis Sidney I. Resnick
+	On the Extremal Behaviour of Generalised Periodic Sub-Sampled Moving Average Models with Regularly Varying Tails	2004	Andreia Hall Manuel G. Scotto Helena Ferreira
+	Extremes of Some Sub-Sampled Time Series	2003	Manuel G. Scotto K. F. Turkman Chauncey W. Anderson
+ PDF Chat	Parameter estimation for moving averages with positive innovations	1996	Paul D. Feigin Marie Kratz Sidney I. Resnick
+	Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations	2003	Manuel G. Scotto Helena Ferreira
+	One limit distribution for a random walk on the line	1975	A. Grincevičius
+ PDF Chat	Regular Variation in the Tail Behaviour of Solutions of Random Difference Equations	1994	D. R. Grey
+	Extremes and Related Properties of Random Sequences and Processes	1983	M. R. Leadbetter Georg Lindgren Holger Rootzén
+	Point processes, regular variation and weak convergence	1986	Sidney I. Resnick
+ PDF Chat	Convergence of Probability Measures	1999	Patrick Billingsley