High-level dependence in time series models
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Publication:650680
DOI10.1007/s10687-009-0084-8zbMath1226.60079OpenAlexW2008619817WikidataQ102130215 ScholiaQ102130215MaRDI QIDQ650680
Martin Schlather, Claudia Klüppelberg, Vicky Fasen
Publication date: 26 November 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-009-0084-8
nonlinear modellinear modelARCHGARCHextreme value theoryextremal indexmultivariate regular variationCOGARCHrandom recurrence equationextreme clusterextreme dependence measureLévy-driven Ornstein-Uhlenbeck process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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