Markov chain models for threshold exceedances
نویسندگان
چکیده
منابع مشابه
Markov Chain Models for Threshold Exceedances
In recent research on extreme value statistics, there has been an extensive development of threshold methods, first in the univariate case but subsequently in the multivariate case as well. In this paper, we develop an alternative methodology for extreme values of univariate time series, by assuming that the time series is Markovian and using bivariate extreme value theory to suggest appropriat...
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ژورنال
عنوان ژورنال: Biometrika
سال: 1997
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/84.2.249