Statistics for tail processes of Markov chains (Q497485): Difference between revisions

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-.1007/s10687-015-0217-1
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+Regular variation of GARCH processes.
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+Regularly varying multivariate time series
@@ Property / cites work: Regularly varying multivariate time series / rank @@
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+TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS
@@ Property / cites work: TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS / rank @@
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+A sufficiency property arising from the characterization of extremes of Markov chains
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+Estimation of copula-based semiparametric time series models
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+Efficient estimation of copula-based semiparametric Markov models
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+Testing time reversibility without moment restrictions
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+The extremogram: a correlogram for extreme events
@@ Property / cites work: The extremogram: a correlogram for extreme events / rank @@
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+Measures of serial extremal dependence and their estimation
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+A moment estimator for the index of an extreme-value distribution
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+The t Copula and Related Copulas
@@ Property / cites work: The t Copula and Related Copulas / rank @@
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+Mixing: Properties and examples
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+A general class of estimators of the extreme value index
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+On Smooth Statistical Tail Functionals
@@ Property / cites work: On Smooth Statistical Tail Functionals / rank @@
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+Limit theorems for empirical processes of cluster functionals
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+Implicit renewal theory and tails of solutions of random equations
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+Nonparametric estimation of an extreme-value copula in arbitrary dimensions
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+A stochastic volatility model with flexible extremal dependence structure
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+Markov tail chains
@@ Property / cites work: Markov tail chains / rank @@
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+Families of min-stable multivariate exponential and multivariate extreme value distributions
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+Random difference equations and renewal theory for products of random matrices
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+Heavy tailed time series with extremal independence
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+Extremal dependence measure and extremogram: the regularly varying case
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+Extremes and local dependence in stationary sequences
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+Statistics for near independence in multivariate extreme values
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+Diagnostics for Dependence within Time Series Extremes
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+Extreme Value Theory for a Class of Markov Chains with Values in ℝ<sup>d</sup>
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+On Interchanging Limits and Integrals
@@ Property / cites work: On Interchanging Limits and Integrals / rank @@
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+Bivariate extreme value theory: Models and estimation
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+Estimating tails of probability distributions
@@ Property / cites work: Estimating tails of probability distributions / rank @@
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+The extremal index for a Markov chain
@@ Property / cites work: The extremal index for a Markov chain / rank @@
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+Weak convergence and empirical processes. With applications to statistics
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+The distributions of cluster functionals of extreme events in a <i>d</i>th-order Markov chain
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+.1007/S10687-015-0217-1
@@ Property / DOI: 10.1007/S10687-015-0217-1 / rank @@
+Normal rank