Rare Events, Temporal Dependence and the Extremal Index
AbstractAMS classifications: 60G70; 62G32;
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-7.
Date of creation: 2006
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Web page: http://center.uvt.nl
block maximum; exceedance; extremal index; failure set; mixing condition; M4 process; rare event; stationary sequence;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Hüsler, Jürg, 1990. "Multivariate extreme values in stationary random sequences," Stochastic Processes and their Applications, Elsevier, vol. 35(1), pages 99-108, June.
- Novak, S. Y., 2002. "Multilevel clustering of extremes," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 59-75, January.
- Hsing, Tailen, 1989. "Extreme value theory for multivariate stationary sequences," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 274-291, May.
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