scientific article

zbMath1297.62189MaRDI QIDQ2921617

Valérie Chavez-Demoulin, Anthony C. Davison

Publication date: 13 October 2014

Full work available at URL: http://www.ine.pt/revstat/pdf/rs120105.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

extremogramclusteringBayesian statisticstail indexextremal indexregressionHill estimatorBox-Cox transformationgeneralized extreme-value distributiongeneralized Pareto distributiondependencenonparametric smoothingnon-stationarity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Markov processes: estimation; hidden Markov models (62M05)

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