Modelling time series extremes
Détails
ID Serval
serval:BIB_57A117D8D096
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Modelling time series extremes
Périodique
REVSTAT - Statistical Journal
ISSN
1645-6726
Statut éditorial
Publié
Date de publication
03/2012
Peer-reviewed
Oui
Volume
10
Numéro
1
Pages
109-133
Langue
anglais
Résumé
The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the literature on extremes of dependent time series and list some remaining challenges.
Mots-clé
Bayesian statistics, Box-Cox transformation, clustering, dependence, extremal index, extremogram, generalized extreme-value distribution, generalized Pareto distribution, Hill estimator, nonparametric smoothing, non-stationarity, regression, tail index
Web of science
Site de l'éditeur
Création de la notice
16/02/2012 21:13
Dernière modification de la notice
20/08/2019 14:11
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