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The goal of this paper is two-fold: (1) We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. (2) We discuss recent concepts of heavy-tailed time series, including regular variation and max-stable processes.
Persistent link: https://www.econbiz.de/10011065065
In the early 1990s, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index α strictly between 0 and 2 satisfy the functional limit theorem. They also conjectured that an equivalent statement holds under a certain less...
Persistent link: https://www.econbiz.de/10011065099
Persistent link: https://www.econbiz.de/10012110330