Modelling time series extremes

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Serval ID
serval:BIB_57A117D8D096
Type
Article: article from journal or magazin.
Collection
Publications
Institution
UNIL/CHUV
Title
Modelling time series extremes
Journal
REVSTAT - Statistical Journal
Author(s)
Chavez-Demoulin V., Davison A. C.
ISSN
1645-6726
Publication state
Published
Issued date
03/2012
Peer-reviewed
Oui
Volume
10
Number
1
Pages
109-133
Language
english
Abstract
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.
Keywords
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
OAI-PMH
oai:serval.unil.ch:BIB_57A117D8D096
Web of science
000306193300005
Publisher's website
http://www.ine.pt/revstat/inicio.html
Create date
16/02/2012 21:13
Last modification date
20/08/2019 14:11
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