On the Occurence of Extreme Events in Long-term Correlated and Multifractal Data Sets

DOI10.1007/978-3-7643-8907-9_11zbMath1191.86020OpenAlexW4236321068MaRDI QIDQ3576635

Mikhail I. Bogachev, Jan F. Eichner, Armin Bunde

Publication date: 30 July 2010

Published in: Earth Sciences and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7643-8907-9_11

zbMATH Keywords

power lawstretched exponentialreturn intervalsnonlinear correlationslong-term correlationsmultifractal records

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Geostatistics (86A32)

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