Extreme Value Theory for Time Series Models with Power-Law Tails /
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 models. Rigorous descriptions o...
I tiakina i:
| Ngā kaituhi matua: | , |
|---|---|
| Kaituhi rangatōpū: | |
| Hōputu: | Tāhiko īPukapuka |
| Reo: | Ingarihi |
| I whakaputaina: |
Cham :
Springer Nature Switzerland : Imprint: Springer,
2024.
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| Putanga: | 1st ed. 2024. |
| Rangatū: | Springer Series in Operations Research and Financial Engineering,
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| Ngā marau: | |
| Urunga tuihono: | https://doi.org/10.1007/978-3-031-59156-3 |
| Ngā Tūtohu: |
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