Spectral tail processes and max-stable approximations of multivariate regularly varying time series

DOI10.1016/j.spa.2018.06.010zbMath1488.60134arXiv1704.06179OpenAlexW2963567596MaRDI QIDQ2000137

Anja Janssen

Publication date: 28 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.06179

zbMATH Keywords

stationary processesmax-stable processesregularly varying time seriesspectral tail process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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