Discrete vs continuous time for large extremes of Gaussian processes.
Year of publication: |
2002-03-28
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Authors: | Piterbarg, V.I. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | Gaussian processes | Extremes | Tail dependence |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2002-06 |
Source: |
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