Placeholder text
Extreme Value Theory for Time Series
0 - Default Title
Description
Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures.
The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques.
A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations.
This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data.
The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis.
It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible.
Product details
Binding:
Paperback
Number of Pages:
784
Release Date:
2025-08-03
Publication Date:
2025-08-03
Publisher:
Springer
Languages:
Original:
English
ISBN10:
3031591585
ISBN13:
9783031591587
GPSR Manufacturer Reference:
Weight:
1165 g
Height:
155 cm
Width:
235 cm
Thickness:
42 cm
Currently sold out