Description

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 ab

Extreme Value Theory for Time Series

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Hardback by Thomas Mikosch

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Introduction.- Part 1 Regular variation of distributions and processes.- 2 The iid univariate benchmark.- 3 Regularly varying random variables and vectors.-... Read more

    Publisher: Springer
    Publication Date: 8/3/2024
    ISBN13: 9783031591556, 978-3031591556
    ISBN10: 3031591550

    Non Fiction , Mathematics & Science , Education

    Description

    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 ab

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