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Télécharger le livre : Extreme Value Theory for Time Series
Thomas Mikosch , Olivier Wintenberger
Extreme Value Theory for Time Series
This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility...
Editeur : Springer
Parution : 2024-08-02

Format(s) : PDF, ePub
232,09 €
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Télécharger le livre : Stochastic Models with Power-Law Tails
Dariusz Buraczewski , Ewa Damek , Thomas Mikosch
Stochastic Models with Power-Law Tails
In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where...
Editeur : Springer
Parution : 2016-07-04
Collection : Springer Series in Operations Research and Financial Engineering
Format(s) : ePub
137,14 €
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