Modelling time series extremes

Détails

ID Serval
serval:BIB_57A117D8D096
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Modelling time series extremes
Périodique
REVSTAT - Statistical Journal
Auteur(s)
Chavez-Demoulin V., Davison A. C.
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
Création de la notice
16/02/2012 22:13
Dernière modification de la notice
03/03/2018 17:24
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