Tail adversarial stability for regularly varying linear processes and their extensions

DOI10.1007/s10687-023-00477-7arXiv2205.00043OpenAlexW4389673039MaRDI QIDQ6151141

Ting Zhang, Shuyang Bai

Publication date: 9 February 2024

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.00043

zbMATH Keywords

time serieslinear processespower lawsmoving averagetail dependenceregularly varying distributions

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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