Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation
DOI10.1063/5.0023301zbMath1456.62221OpenAlexW3087928450WikidataQ100411947 ScholiaQ100411947MaRDI QIDQ5139776
Luciano Telesca, Zbigniew Czechowski
Publication date: 10 December 2020
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1063/5.0023301
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Fractional processes, including fractional Brownian motion (60G22) Statistics of extreme values; tail inference (62G32)
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