Introduction

Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas

doi:10.1007/978-3-319-29679-1_1

Dariusz Buraczewski⁷,
Ewa Damek⁷ &
Thomas Mikosch⁸

Part of the book series: Springer Series in Operations Research and Financial Engineering ((ORFE))

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Abstract

Over the last 40 years the stochastic recurrence equation.

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Notes

1.
In this text, we have chosen to refer to (1.0.1) as a stochastic recurrence equation. In the literature, various other names for (1.0.1) exist: random coefficient autoregressive model, generalized autoregressive process, random difference equation, random affine recursion, etc.
2.
Here and in what follows, we write \(A,B,C,\ldots \) for a generic element of any strictly stationary sequence \((A_t)\), \((B_t)\), \((C_t), \ldots \).
3.
For a proof of this fact, see Example 2.5.10.

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Authors and Affiliations

Institute of Mathematics, University of Wrocław, Wrocław, Poland
Dariusz Buraczewski & Ewa Damek
Department of Mathematics, University of Copenhagen, Copenhagen, Denmark
Thomas Mikosch

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Dariusz Buraczewski
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Ewa Damek
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Thomas Mikosch
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Correspondence to Dariusz Buraczewski .

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Buraczewski, D., Damek, E., Mikosch, T. (2016). Introduction. In: Stochastic Models with Power-Law Tails. Springer Series in Operations Research and Financial Engineering. Springer, Cham. https://doi.org/10.1007/978-3-319-29679-1_1

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DOI: https://doi.org/10.1007/978-3-319-29679-1_1
Published: 05 July 2016
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-29678-4
Online ISBN: 978-3-319-29679-1
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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