Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024
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Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024
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Total size: 114.61 MB
Added: 2 days ago (2025-06-11 14:06:01)
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Info Hash: A6A104F2766D928912C31776CB544B263657822B
Last updated: 21 minutes ago (2025-06-14 04:35:03)
Description:
Textbook in PDF format
This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models