Extreme value theory for a class of nonstationary time series with applications
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Publication:1364401
DOI10.1214/AOAP/1034625342zbMATH Open0884.60045OpenAlexW2061498281MaRDI QIDQ1364401FDOQ1364401
Publication date: 23 March 1998
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034625342
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)
Cites Work
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- Estimating the dimension of a model
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- On the characterization of certain point processes
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- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
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- Extreme value theory for processes with periodic variances
- Limit theorems for strongly mixing stationary random measures
- Nonlinear Additive Models for Environmental Time Series, With Applications to Ground-Level Ozone Data Analysis
Cited In (8)
- Application of extreme value theory to level estimation in nonlinearly distorted hidden Markov models
- Limit theorem for the Robin Hood game
- On the extremes of a class of nonstationary processes with heavy tailed innovations
- Title not available (Why is that?)
- Extreme value autoregressive model and its applications
- Modeling threshold exceedance probabilities of spatially correlated time series
- Non-Linear Time Series
- Time-Variant Nonparametric Extreme Quantile Estimation with Application to Us Temperature Data
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