Fitting time series with heavy tails and strong time dependence
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Publication:2662923
DOI10.1007/s10958-021-05324-3zbMath1475.62162OpenAlexW3138763688MaRDI QIDQ2662923
Publication date: 15 April 2021
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10958-021-05324-3
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Cites Work
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- A general class of estimators of the extreme value index
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- On Smooth Statistical Tail Functionals
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