Extreme value theory for moving average processes with light-tailed innovations
type: Item
instance of: scholarly article
title: Extreme value theory for moving average processes with light-tailed innovations
zbMATH Open document ID: 1069.62041
author: Alexander Lindner
author: Claudia Klüppelberg
published in: Bernoulli
publication date: 2005-09-28T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 2209763
zbMATH Keywords: ANET
zbMATH Keywords: asymptotically normal with exponential tails
zbMATH Keywords: financial time series
zbMATH Keywords: domain of attraction
zbMATH Keywords: egeneralized linear model
zbMATH Keywords: light-tailed innovations
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.3150/bj/1120591182
OpenAlex ID: W2021741867
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DOI: 10.3150/BJ/1120591182
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description: scientific article; zbMATH DE number 2209763