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Abstract: The tail behaviour of stationary R -valued Markov-Switching ARMA processes driven by a regularly varying noise is analysed. It is shown that under appropriate summability conditions the MS-ARMA process is again regularly varying as a sequence. Moreover, the feasible stationarity condition given in Stelzer (2006) is extended to a criterion for regular variation. Our results complement in particular those of Saporta (2005) where regularly varying tails of one-dimensional MS-AR(1)... (Update)
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BibTeX entry: (Update)
@misc{ rd-multivariate,
author = "Robert Stelzer Rd",
title = "Multivariate Markov-switching ARMA processes with regularly varying noise",
url = "citeseer.ist.psu.edu/756067.html" }
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