Some aspects of extreme value theory under serial dependence

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dc.creatorDrees, Holger
dc.date2007-10-31
dc.date.accessioned2026-07-07T08:39:44Z
dc.date.available2026-07-07T08:39:44Z
dc.descriptionOn the occasion of Laurens de Haan's 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on his important contributions. First, the performance of a direct marginal tail analysis is compared with that of a model-based approach using an analysis of residuals. Second, the importance of the extremal index as a measure of the serial extremal dependence is discussed by the example of solutions of a stochastic recurrence equation.
dc.descriptionto be published in Extremes
dc.identifierhttps://arxiv.org/abs/0710.5879
dc.identifierhttp://arxiv.org/abs/0710.5879
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/141172
dc.subjectStatistics Theory
dc.subjectProbability
dc.subjectMethodology
dc.titleSome aspects of extreme value theory under serial dependence
dc.typetext

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