Some aspects of extreme value statistics under serial dependence

被引：9

作者：

Drees, Holger ^{[1
]}

机构：

[1] Univ Hamburg, D-20146 Hamburg, Germany

来源：

EXTREMES | 2008年 / 11卷 / 01期

关键词：

Extremal index; Extreme quantile; Extreme value index; Linear time series; Mixing condition; Model deviation; Robustness; Tail analysis;

D O I：

10.1007/s10687-007-0051-1

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

On the occasion of Laurens de Haan's 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on his important contributions. First, the performance of a direct marginal tail analysis is compared with that of a model-based approach using an analysis of residuals. Second, the importance of the extremal index as a measure of the serial extremal dependence is discussed by the example of solutions of a stochastic recurrence equation.

引用

页码：35 / 53

页数：19

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