Measures of serial extremal dependence and their estimation

Richard A. Davis, Thomas Mikosch and Yuwei Zhao

Stochastic Processes and their Applications, 2013, vol. 123, issue 7, 2575-2602

Abstract: 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.

Keywords: Extremogram; Extremal index; Regular variation; Max-stable process; Periodogram (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:7:p:2575-2602

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DOI: 10.1016/j.spa.2013.03.014

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