In this chapter we will apply the results of Chapter 4 to define one-sided and two-sided multivariate moving average processes with random coefficients. In Sections 15.1 and 15.2, we will recall the conditions for existence and the regular variation properties. We will compute the tail process and the candidate extremal index. The conditions of existence allow for a m-dependent tail equivalent approximations.
CITATION STYLE
Kulik, R., & Soulier, P. (2020). Moving averages. In Springer Series in Operations Research and Financial Engineering (pp. 425–452). Springer Nature. https://doi.org/10.1007/978-1-0716-0737-4_15
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