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Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram
Extremogram extremal dependence stationary bootstrap financial time series
2011/10/9
Abstract: Davis and Mikosch [7] introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard...
The extremogram:A correlogram for extreme events
GARCH multivariate regular variation stationary sequence stochastic volatilityprocess tail dependence coefficient
2010/3/9
We consider a strictly stationary sequence of random vectors whose finite-dimensional distributions
are jointly regularly varying with some positive index. This class of processes includes,
among ot...