Fitting time series with heavy tails and strong time dependence

DOI10.1007/s10958-021-05324-3zbMath1475.62162OpenAlexW3138763688MaRDI QIDQ2662923

A. E. Mazur

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

zbMATH Keywords

time seriescopula function

Mathematics Subject Classification ID

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

• Gaussian copula time series with heavy tails and strong time dependence
• Weak convergence of the tail empirical process for dependent sequences
• Extremes and related properties of random sequences and processes
• A simple general approach to inference about the tail of a distribution
• 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
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Fitting time series with heavy tails and strong time dependence