Statistics for Heteroscedastic Time Series Extremes

被引:0
|
作者
Bucher, Axel
Jennessen, Tobias
机构
来源
arXiv | 2022年
关键词
Compilation and indexing terms; Copyright 2024 Elsevier Inc;
D O I
暂无
中图分类号
学科分类号
摘要
Intelligent systems - Monte Carlo methods - Stochastic models - Stochastic systems
引用
收藏
相关论文
共 50 条
  • [31] Cluster based inference for extremes of time series
    Drees, Holger
    Janssen, Anja
    Neblung, Sebastian
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021, 142 : 1 - 33
  • [32] Editorial: special issue on time series extremes
    Rafal Kulik
    Extremes, 2016, 19 : 463 - 466
  • [33] Fuzzy clustering of time series using extremes
    D'Urso, Pierpaolo
    Maharaj, Elizabeth A.
    Alonso, Andres M.
    FUZZY SETS AND SYSTEMS, 2017, 318 : 56 - 79
  • [34] Extremes of scale mixtures of multivariate time series
    Ferreira, Helena
    Ferreira, Marta
    JOURNAL OF MULTIVARIATE ANALYSIS, 2015, 137 : 82 - 99
  • [35] Diagnostics for dependence within time series extremes
    Ledford, AW
    Tawn, JA
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2003, 65 : 521 - 543
  • [36] Analysis of occurrence of extremes in a time series with a trend
    Volf, Petr
    PROCEEDINGS OF THE 29TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2011, PTS I AND II, 2011, : 751 - 756
  • [37] On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
    Yoon, Jae Eun
    Hwang, Sun Young
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2021, 50 (07) : 2042 - 2053
  • [38] Levy sections vs. partial sums of heteroscedastic time series
    Nascimento, C. M.
    Helena, E. L. S.
    Passos, F. S.
    Gleria, I.
    Figueiredo, A.
    Viswanathan, G. M.
    EPL, 2011, 96 (06)
  • [39] Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
    Wong, H
    Li, WK
    ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2002, 54 (01) : 45 - 59
  • [40] Estimating the error distribution in multivariate heteroscedastic time-series models
    Kim, Gunky
    Silvapulle, Mervyn J.
    Silvapulle, Paramsothy
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2008, 138 (05) : 1442 - 1458