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Book Cover
E-book
Author Kulik, Rafal.

Title Heavy-tailed time series / Rafal Kulik, Philippe Soulier
Published New York, NY : Springer, 2020

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Description 1 online resource (677 pages)
Series Springer Series in Operations Research and Financial Engineering
Springer series in operations research.
Contents Regular variation -- Regularly varying random variables -- Regularly varying random vectors -- Dealing with extremal independence -- Regular variation of series and random sums -- Regularly varying time series -- Limit theorems -- Convergence of clusters-. Point process convergence -- Convergence to stable and extremal processes -- The tall empirical and quantile processes -- Estimation of cluster functionals -- Estimation for extremally independent time series -- Bootstrap -- Time series models -- Max-stable processes -- Markov chains -- Moving averages -- Long memory processes -- Appendices
Summary This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapters conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence
Bibliography Includes bibliographical references and index
Notes Print version record
Subject Extreme value theory.
Time-series analysis.
Probability & statistics.
Applied mathematics.
Mathematics -- Probability & Statistics -- General.
Mathematics -- Applied.
Matemáticas -- Estadística aplicada
Estadística aplicada
Extreme value theory
Time-series analysis
Form Electronic book
Author Soulier, Philippe, Prof.
ISBN 9781071607374
1071607375