Measures of serial extremal dependence and their estimation
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Publication:2447645
DOI10.1016/j.spa.2013.03.014zbMath1294.60076arXiv1303.6349OpenAlexW2126276533MaRDI QIDQ2447645
Yuwei Zhao, Thomas Mikosch, Richard A. Davis
Publication date: 28 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.6349
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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Uses Software
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