Heavy tailed time series with extremal independence
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| 024 | 7 | 0 | |a 10.1007/s10687-014-0213-x |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-014-0213-x | ||
| 245 | 0 | 0 | |a Heavy tailed time series with extremal independence |h [Elektronische Daten] |c [Rafał Kulik, Philippe Soulier] |
| 520 | 3 | |a We consider heavy tailed time series whose finite-dimensional distributions are extremally independent in the sense that extremely large values cannot be observed consecutively. This calls for methods beyond the classical multivariate extreme value theory which is convenient only for extremally dependent multivariate distributions. We use the Conditional Extreme Value approach to study the effect of an extreme value at time zero on the future of the time series. In formal terms, we study the limiting conditional distribution of future observations given an extreme value at time zero. To this purpose, we introduce conditional scaling functions and conditional scaling exponents. We compute these quantities for a variety of models, including Markov chains, exponential autoregressive models, stochastic volatility models with heavy tailed innovations or volatilities. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Multivariate regular variation |2 nationallicence | |
| 690 | 7 | |a Extremal independence |2 nationallicence | |
| 690 | 7 | |a Conditional scaling exponent |2 nationallicence | |
| 690 | 7 | |a Markov chains |2 nationallicence | |
| 690 | 7 | |a Stochastic volatility models |2 nationallicence | |
| 700 | 1 | |a Kulik |D Rafał |u University of Ottawa, Ottawa, Ontario, Canada |4 aut | |
| 700 | 1 | |a Soulier |D Philippe |u Université de Paris-Ouest Nanterre, Nanterre, France |4 aut | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/2(2015-06-01), 273-299 |x 1386-1999 |q 18:2<273 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-014-0213-x |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-014-0213-x |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Kulik |D Rafał |u University of Ottawa, Ottawa, Ontario, Canada |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Soulier |D Philippe |u Université de Paris-Ouest Nanterre, Nanterre, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/2(2015-06-01), 273-299 |x 1386-1999 |q 18:2<273 |1 2015 |2 18 |o 10687 | ||