Some aspects of extreme value statistics under serial dependence
Some aspects of extreme value statistics under serial dependence
复制标题
序列依赖性下极值统计的一些方面
DOI：
10.1007/s10687-007-0051-1
复制
发表时间：
2007
期刊：
影响因子：
1.3
通讯作者：
H. Drees
中科院分区：
文献类型：
--
作者：
H. Drees
在Laurens de哈安70岁生日之际，我们讨论了时间序列极值行为统计推断的两个方面，特别强调了他的重要贡献。首先，一个直接的边际尾部分析的性能进行比较，基于模型的方法，使用残差分析。其次，通过一个随机递归方程解的例子，讨论了极值指数作为序列极值相关性度量的重要性。
On the occasion of Laurens de Haan’s 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on his important contributions. First, the performance of a direct marginal tail analysis is compared with that of a model-based approach using an analysis of residuals. Second, the importance of the extremal index as a measure of the serial extremal dependence is discussed by the example of solutions of a stochastic recurrence equation.