On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures

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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Bibliographic Details
Main Author: Zhengjun Zhang
Format: Article
Language:English
Published: Taylor & Francis Group 2021-01-01
Series:Statistical Theory and Related Fields
Subjects:
extreme value theory
tail dependence index
time series of maxima
maxima of moving maxima
autoregressive tail index models
Online Access:http://dx.doi.org/10.1080/24754269.2020.1856590

Internet

http://dx.doi.org/10.1080/24754269.2020.1856590

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