Extreme value theory for nonstationary random coefficients time series with regularly varying tails

zbMath1266.62062MaRDI QIDQ427977

J. Herrera, H. S. Yoon

Publication date: 18 June 2012

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: http://www.ajol.info/index.php/afst/article/view/71065

zbMATH Keywords

nonstationary processes; mixing condition; Poisson processes; regular varying functions

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G32: Statistics of extreme values; tail inference

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Uses Software

• ismev