Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis

Cites work

scientific article; zbMATH DE number 3131469 (Why is no real title available?)
scientific article; zbMATH DE number 3854249 (Why is no real title available?)
scientific article; zbMATH DE number 3963031 (Why is no real title available?)
scientific article; zbMATH DE number 48093 (Why is no real title available?)
scientific article; zbMATH DE number 3502569 (Why is no real title available?)
scientific article; zbMATH DE number 3335601 (Why is no real title available?)
scientific article; zbMATH DE number 3357844 (Why is no real title available?)
scientific article; zbMATH DE number 2231189 (Why is no real title available?)
scientific article; zbMATH DE number 3195732 (Why is no real title available?)
A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
A Fourier analysis of extreme events
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
A Single-Pass Algorithm for Spectrum Estimation With Fast Convergence
A comment on a conjecture of N. Wiener
A limit theorem for quadratic forms and its applications
A structural break test for extremal dependence in \(\beta\)-mixing random vectors
A thresholding-based prewhitened long-run variance estimator and its dependence-oracle property
Asymptotic normality, strong mixing and spectral density estimates
Asymptotic spectral theory for nonlinear time series
Asymptotics of sample tail autocorrelations for tail-dependent time series: phase transition and visualization
Asymptotics of spectral density estimates
BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
Batch means and spectral variance estimators in Markov chain Monte Carlo
Bivariate extreme statistics. I
Bivariate tail estimation: dependence in asymptotic independence
Dependence measures for extreme value analyses
EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
High-quantile regression for tail-dependent time series
Large sample confidence regions based on subsamples under minimal assumptions
Limit theory for multivariate sample extremes
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
Moving-maximum models for extrema of time series
Nonlinear system theory: Another look at dependence
On a spectral density estimate obtained by averaging periodograms
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
On the Distribution of Some Statistical Estimates of Spectral Density
Optimal Mean-Squared-Error Batch Sizes
Parametric families of multivariate distributions with given margins
Quotient correlation: a sample based alternative to Pearson's correlation
Random threshold driven tail dependence measures with application to precipitation data analysis
Recursive estimation of time-average variance constants
Resampling methods for dependent data
Risk management: Value at risk and beyond
Statistics for near independence in multivariate extreme values
Strong mixing properties of max-infinitely divisible random fields
Subsampling
Testing parametric assumptions of trends of a nonstationary time series
The behavior of multivariate maxima of moving maxima processes
The extremogram: a correlogram for extreme events
The integrated periodogram of a dependent extremal event sequence
The quantilogram: with an application to evaluating directional predictability
Time series: theory and methods.

This page was built for publication: Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6567938)