Mathematics
Modelling Time Series Extremes
V. Chavez‐Demoulin, A. Davison
tlooto Summary
Reviewing literature on modelling rare events of dependent time series, highlighting remaining challenges in extremes modeling.
Abstract
The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the literature on extremes of dependent time series and list some remaining challenges.
Citation format
CHAVEZ‐DEMOULIN, V.; DAVISON, A. Modelling time series extremes. REVSTAT-Statistical Journal, 2012, 10: 109–133.