Modeling multivariate extreme events using self-exciting point processes (Q2511798)
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scientific article; zbMATH DE number 6325809
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Modeling multivariate extreme events using self-exciting point processes |
scientific article; zbMATH DE number 6325809 |
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Modeling multivariate extreme events using self-exciting point processes (English)
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6 August 2014
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time series
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peaks-over-threshold
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Hawkes processes
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extreme value theory
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0.8231264352798462
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0.7883607149124146
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0.7871898412704468
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0.7797448039054871
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