On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
This review paper discusses advances of statistical inference in modeling extreme observations from multiple sources and heterogeneous populations. The paper starts briefly reviewing classical univariate/multivariate extreme value theory, tail equivalence, and tail (in)dependence. New extreme value...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2021-01-01
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| Series: | Statistical Theory and Related Fields |
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| Online Access: | http://dx.doi.org/10.1080/24754269.2020.1856590 |