| 书目名称 | Extreme Value Theory for Time Series |
| 副标题 | Models with Power-La |
| 编辑 | Thomas Mikosch,Olivier Wintenberger |
| 视频video | |
| 概述 | Can easily be used for a semester course on extremes for time series at the Master or PhD level.Provides‘a gentle introduction to extreme value theory for heavy-tailed time series.Contains a rich tool |
| 丛书名称 | Springer Series in Operations Research and Financial Engineering |
| 图书封面 |  |
| 描述 | .This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models...Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures...The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques...A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. ..This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data...The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis...It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes |
| 出版日期 | Book 2024 |
| 关键词 | heavy-tail phenomena; Modeling extremal events; time series; cluster phenomena; big jump principle |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-031-59156-3 |
| isbn_softcover | 978-3-031-59158-7 |
| isbn_ebook | 978-3-031-59156-3Series ISSN 1431-8598 Series E-ISSN 2197-1773 |
| issn_series | 1431-8598 |
| copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl |
发表于 2025-3-21 18:39:11
