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)

Full work available at URL https://doi.org/10.1111/JTSA.12732

zbMATH Keywords

ARMA modelsregular variationstationarytail pairwise dependence function

Mathematics Subject Classification ID

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

Cites work

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• Heavy-Tail Phenomena
• Hidden regular variation, second order regular variation and asymptotic independence
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• 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.

Cited in

(1)

• P-min-stable regression models for time series with extreme values of limited range

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