Revstat Statistical Journal (Apr 2012)

Modelling Time Series Extremes

  • V. Chavez-Demoulin ,
  • A.C. Davison

DOI
https://doi.org/10.57805/revstat.v10i1.113
Journal volume & issue
Vol. 10, no. 1

Abstract

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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.

Keywords