On the measurement and treatment of extremes in time series

DOI10.1007/s10687-016-0254-4zbMath1359.62378OpenAlexW2355997813MaRDI QIDQ508717

Tucker S. McElroy

Publication date: 8 February 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-016-0254-4

zbMATH Keywords

extremogramtime seriesregular variationtail indexextremal indexextremal clusteringNoah effect

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items

Nonlinear prediction via Hermite transformation ⋮ Editorial: Special issue on time series extremes ⋮ Trend detection for heteroscedastic extremes ⋮ Maximum entropy extreme‐value seasonal adjustment

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