A prediction‐residual approach for identifying rare events in periodic time series

DOI10.1111/j.1467-9892.2011.00725.xzbMath1294.62201OpenAlexW1924071239MaRDI QIDQ5495688

Zhiyun Gong, Peter C. Kiessler, Robert B. Lund

Publication date: 6 August 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00725.x

zbMATH Keywords

thresholdingpeaks over thresholdperiodicitiesARMA asymptotics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Extreme value theory; extremal stochastic processes (60G70)

Related Items

Spectral Density Ratio Models for Multivariate Extremes

Uses Software

• ismev

Cites Work

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