Modelling time series extremes
extremogramclusteringregressionBayesian statisticsdependenceextremal indexgeneralized Pareto distributionBox-Cox transformationHill estimatornon-stationaritytail indexnonparametric smoothinggeneralized extreme-value distribution
Bayesian inference (62F15) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
- Fast automatic smoothing for generalized additive models
- A modeler's guide to extreme value software
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Quantifying the risk of heat waves using extreme value theory and spatio-temporal functional data
- Asymptotic behavior of the maximum from distributions subject to trends in location and scale
- Time-varying extreme pattern with dynamic models
- scientific article; zbMATH DE number 6739318 (Why is no real title available?)
- scientific article; zbMATH DE number 7219016 (Why is no real title available?)
- A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
- Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series
- Moving-maximum models for extrema of time series
- Time series procedures to improve extreme quantile estimation
- Latent process modelling of threshold exceedances in hourly rainfall series
- Extreme value autoregressive model and its applications
- Stable sums to infer high return levels of multivariate rainfall time series
- Non-linear models for extremal dependence
- A model for the directional evolution of severe ocean storms
- Heatwave duration: characterizations using probabilistic inference
- Modelling non-stationarity in asymptotically independent extremes
- A prediction-residual approach for identifying rare events in periodic time series
- An efficient semiparametric maxima estimator of the extremal index
- Distributionally robust inference for extreme value-at-risk
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Extreme-quantile tracking for financial time series
- On the measurement and treatment of extremes in time series
- Extreme value analysis for evaluating ozone control strategies
- P-min-stable regression models for time series with extreme values of limited range
This page was built for publication: Modelling time series extremes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2921617)
