Extremal t processes: Elliptical domain of attraction and a spectral representation
نویسندگان
چکیده
منابع مشابه
Spectral Representation of Stationary Processes
The spectral distribution measures the fraction of the total variance of the process γ(0) that can be attributed to a certain interval of frequencies.. If for example we have monthly data then one month corresponds to 2π, two month correspond to π, one year corresponds to π/6 . To measure the fraction of the variance generated by cyclical components of more than one year cycle length we would c...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2013.08.008