Some aspects of extreme value statistics under serial dependence

Link:
Autor/in:
Erscheinungsjahr:
2008
Medientyp:
Text
Schlagworte:
  • Extremal index
  • Extreme quantile
  • Extreme value index
  • Linear time series
  • Mixing condition
  • Model deviation
  • Robustness
  • Tail analysis
Beschreibung:
  • On 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. © 2007 Springer Science+Business Media, LLC.
Lizenz:
  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH
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oai:www.edit.fis.uni-hamburg.de:publications/d570d25b-5ccc-46b2-b2a2-62a112b418e2