High-level dependence in time series models
نویسندگان
چکیده
منابع مشابه
High-level dependence in time series models
We present several notions of high-level dependence for stochastic processes, which have appeared in the literature. We calculate such measures for discrete and continuous-time models, where we concentrate on time series with heavy-tailed marginals, where extremes are likely to occur in clusters. Such models include linear models and solutions to random recurrence equations; in particular, disc...
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ژورنال
عنوان ژورنال: Extremes
سال: 2009
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-009-0084-8