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math.PR2017
Arrival times of Cox process with independent increment with application to prediction problems
Muneya Matsui
Properties of arrival times are studied for a Cox process with independent (and stationary) increments. Under a reasonable setting the directing random measure is shown to take ove…
math.PR2017
Componentwise different tail solutions for bivariate stochastic recurrence equations -- with application to GARCH(1,1) processes --
Ewa Damek, Muneya Matsui, Witold Świątkowski
We study bivariate stochastic recurrence equations (SREs) motivated by applications to GARCH(1,1) processes. If coefficient matrices of SREs have strictly positive entries, then th…