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• W2071521216 abstract "Abstract In this paper, we look at the extremal behavior of Volterra series expansions generated by heavy-tailed innovations, via a point process formulation. Volterra series expansions are known to be the most general nonlinear representation for any stationary sequence. The so called complete convergence theorem on point processes we prove enable us to give in detail, the weak limiting behavior of various functionals of the underlying process including the asymptotic distribution of upper and lower order statistics. In particular, we investigate the limiting distribution of the sample maxima and the corresponding extremal index. The study of the extremal properties of finite order Volterra series expansions would be highly valuable in understanding the extremal behavior of nonlinear processes as well as understanding of order identification and adequacy of Volterra series when used as models in signal processing. In fact, such extremal properties may suggest a way of finding the order of a finite Volterra expansions which is consistent with the nonlinearities of the observed process." @default.
• W2071521216 created "2016-06-24" @default.
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• W2071521216 date "2005-10-01" @default.
• W2071521216 modified "2023-10-16" @default.
• W2071521216 title "Extremes of Volterra series expansions with heavy-tailed innovations" @default.
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• W2071521216 doi "https://doi.org/10.1016/j.na.2005.05.006" @default.
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