Extreme Value Theory for Time Series

Models with Power-Law Tails

Inbunden, Engelska, 2024

Av Thomas Mikosch, Olivier Wintenberger

2 829 kr

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This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails.

Produktinformation

Utgivningsdatum2024-08-03
Mått155 x 235 x 48 mm
Vikt1 326 g
FormatInbunden
SpråkEngelska
SerieSpringer Series in Operations Research and Financial Engineering
Antal sidor766
FörlagSpringer International Publishing AG
ISBN9783031591556

Tillhör följande kategorier

Introduction.- Part 1 Regular variation of distributions and processes.- 2 The iid univariate benchmark.- 3 Regularly varying random variables and vectors.- 4 Regularly varying time series.- 5 Examples of regularly varying stationary processes.- Part 2 Point process convergence and cluster phenomena of time series.- 6 Clusters of extremes.- 7 Point process convergence for regularly varying sequences.- 8 Applications of point process convergence.- Part 3 Infinite variance central limit theory.- 9 Infinite-variance central limit theory.- 10 Self-normalization, sample autocorrelations and the extremogram.- Appendix A Point processes.- Appendix B Univariate regular variation.- Appendix C Vague convergence.- Appendix D Tools.- Appendix E Multivariate regular variation – supplementary results.- Appendix F Heavy-tail large deviations for sequences of independent random variables and vectors, and their applications.-references.- index.- List of abbreviations and symbols.

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