Statistical Inference for Heavy Tailed Time Series and Vectors
Zhigang Tong
Broschiertes Buch

Statistical Inference for Heavy Tailed Time Series and Vectors

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In this book we deal with statistical inference related to extreme value phenomena. Specifically, if X is a random vector with values in d-dimensional space, our goal is to estimate moments of (X) for a suitably chosen function when the magnitude of X is big. We employ the powerful tool of regular variation for random variables, random vectors and time series to formally define the limiting quantities of interests and construct the estimators. We focus on three statistical estimation problems: (i) multivariate tail estimation for regularly varying random vectors, (ii) extremogram estimation fo...