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Bayesian robustness modelling using regularly varying distributions
Bayesian robustness heavy-tailed distributions conicting information regular variation credence
2009/9/21
Bayesian robustness modelling using heavy-tailed distributions pro-
vides a exible approach to resolving problems of conicts between the data and
prior distributions. See Dawid (1973) and OHaga (197...
EXTREMES FOR SOLUTIONS TO STOCHASTIC DIFFERENCE EQUATIONS WITH REGULARLY VARYING TAILS
periodic stochastic difference equations extremal index point processes
2009/2/25
The so-called complete convergence theorem we prove enable us to give in detail the
weak limiting behavior of various functional of the underlying process including the
asymptotic distribution of up...
Extremes of periodic moving averages of random variables with regularly varying tail probabilities
Periodic moving average processes extremal index mixing condition
2009/2/23
We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of k consecutive variables of the sequence. By applyi...
Regularly varying multivariate time series
clusters of extremes extremal index heavy tails mixing moving average multivariate regular variation point processes
2010/4/30
A multivariate, stationary time series is said to be jointly regularly
varying if all its finite-dimensional distributions are multivariate regularly
varying. This property is shown to be equivalent...