Extreme value theory for nonstationary random coefficients time series with regularly varying tails

zbMath1266.62062MaRDI QIDQ427977

J. Herrera, H. S. Yoon

Publication date: 18 June 2012

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: http://www.ajol.info/index.php/afst/article/view/71065

zbMATH Keywords

nonstationary processesmixing conditionPoisson processesregular varying functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Uses Software

• ismev

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