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Measures of serial extremal dependence and their estimation |
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| Authors: | Richard A Davis Thomas Mikosch Yuwei Zhao |
| Institution: | 1. Department of Statistics, Columbia University, 1255 Amsterdam Ave., New York, NY 10027, USA;2. University of Copenhagen, Department of Mathematics, Universitetsparken 5, DK-2100 Copenhagen, Denmark |
| Abstract: | The goal of this paper is two-fold: (1) We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. (2) We discuss recent concepts of heavy-tailed time series, including regular variation and max-stable processes. |
| Keywords: | Extremogram Extremal index Regular variation Max-stable process Periodogram |
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