High-level dependence in time series models

DOI10.1007/S10687-009-0084-8zbMath1226.60079OpenAlexW2008619817WikidataQ102130215 ScholiaQ102130215MaRDI QIDQ650680

Martin Schlather, Claudia Klüppelberg, Vicky Fasen

Publication date: 26 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0084-8

zbMATH Keywords

nonlinear modellinear modelARCHGARCHextreme value theoryextremal indexmultivariate regular variationCOGARCHrandom recurrence equationextreme clusterextreme dependence measureLévy-driven Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (10)

The realization problem for tail correlation functions ⋮ The extremogram: a correlogram for extreme events ⋮ Max-stable processes for modeling extremes observed in space and time ⋮ Storm processes and stochastic geometry ⋮ Extremal dependence measure and extremogram: the regularly varying case ⋮ A Fourier analysis of extreme events ⋮ On the measurement and treatment of extremes in time series ⋮ Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes ⋮ Semiparametric estimation for isotropic max-stable space-time processes ⋮ Joint extremal behavior of hidden and observable time series with applications to GARCH processes

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