Book Details


Heavy-Tailed Time Series

Publication year: 2020

ISBN: 978-1-0716-0737-4

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This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology.Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.

Subject: Mathematics and Statistics, Extreme value theory, Time series, extremal processes, Point processes, Stable processes, Statistics of extreme values, tail inference, Probability Theory and Stochastic Processes, Statistical Theory and Methods, Applications of Mathematics