Extreme value statistics of correlated random variables: a pedagogical review
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Publication:2187814
DOI10.1016/j.physrep.2019.10.005zbMath1441.62115arXiv1910.10667OpenAlexW3103846090WikidataQ126835236 ScholiaQ126835236MaRDI QIDQ2187814
Satya N. Majumdar, Arnab Pal, Grégory Schehr
Publication date: 3 June 2020
Published in: Physics Reports (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.10667
Random fields (60G60) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Applications of statistics to physics (62P35)
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