Article: article from journal or magazin.
Modelling time series extremes
REVSTAT - Statistical Journal
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.
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
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