Some aspects of extreme value statistics under serial dependence |
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Authors: | Holger Drees |
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Institution: | (1) Department of Mathematics, University of Hamburg, Bundesstr. 55, 20146 Hamburg, Germany |
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Abstract: | 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.
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Keywords: | Extremal index Extreme quantile Extreme value index Linear time series Mixing condition Model deviation Robustness Tail analysis |
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