The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, the assumption of independently and identically distributed (iid) data is likely to be violated in practical settings, leading to clustering of high-threshold exceedances. These...

The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, the assumption of independently and identically distributed (iid) data is likely to be violated in practical settings, leading to clustering of high-threshold exceedances. These...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

The problem of model selection of a univariate long memory time series is investigated once a semi parametric estimator for the long memory parameter has been used. Standard information criteria are not consistent in this case. A Modified Information Criterion (MIC) that overcomes these...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...