A latent trawl process model for extreme values
نویسندگان
چکیده
منابع مشابه
An alternative point process framework for modelling multivariate extreme values
Classical techniques for analysing multivariate extremes can often be framed in terms of the point process representation of de Haan (1985). Amongst other things, this representation provides a characterisation of the limiting distribution of the normalised componentwise maxima of independent and identically distributed unit Fréchet variables, i.e. the class of multivariate extreme value distri...
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ژورنال
عنوان ژورنال: The Journal of Energy Markets
سال: 2018
ISSN: 1756-3607
DOI: 10.21314/jem.2018.179