Diagnostics for Dependence within Time Series Extremes

DOI10.1111/1467-9868.00400zbMath1065.62156OpenAlexW2159733436MaRDI QIDQ4665872

Publication date: 11 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00400

zbMATH Keywords

time series Gaussian processes regular variation Markov processes clusters extreme value theory coefficient of tail dependence extremal index exchange rates rainfall

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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