Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
DOI10.1007/978-3-031-12244-6_10zbMath1525.60065OpenAlexW4376624842MaRDI QIDQ6061111
Claudia Klüppelberg, Paul Embrechts, Thomas Mikosch
Publication date: 3 December 2023
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-031-12244-6_10
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)
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