Discrete vs continuous time for large extremes of Gaussian processes.
| Year of publication: |
2002-03-28
|
|---|---|
| Authors: | Piterbarg, V.I. |
| Institutions: | Erasmus University Rotterdam, Econometric Institute |
| Subject: | Gaussian processes | Extremes | Tail dependence |
| Extent: | application/pdf |
|---|---|
| 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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