Transformed-linear models for time series extremes

DOI10.1111/JTSA.12732MaRDI QIDQ6604023zbMATH OpenFDO

Authors Nehali Mhatre, Daniel Cooley

Publication date 12 September 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

ARMA modelsregular variationstationarytail pairwise dependence function

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A hierarchical max-infinitely divisible spatial model for extreme precipitation
• An introduction to statistical modeling of extreme values
• Basic properties and prediction of max-ARMA processes
• Decompositions of dependence for high-dimensional extremes
• Dependence measures for extreme value analyses
• Extremal dependence measure and extremogram: the regularly varying case
• Extremal dependence measure for functional data
• Extreme value theory. An introduction.
• Heavy tailed time series
• Heavy-Tail Phenomena
• Hidden regular variation, second order regular variation and asymptotic independence
• Introduction to Time Series and Forecasting
• Likelihood estimators for multivariate extremes
• Markov chain models for threshold exceedances
• Max-infinitely divisible models and inference for spatial extremes
• The extremogram: a correlogram for extreme events
• Time series: theory and methods.

This page was built for publication: Transformed-linear models for time series extremes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6604023)