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Record Nr. |
UNINA9910484135703321 |
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Autore |
Kulik Rafal |
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Titolo |
Heavy-Tailed Time Series [[electronic resource] /] / by Rafal Kulik, Philippe Soulier |
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Pubbl/distr/stampa |
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New York, NY : , : Springer New York : , : Imprint : Springer, , 2020 |
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ISBN |
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Edizione |
[1st ed. 2020.] |
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Descrizione fisica |
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1 online resource (XIX, 681 p. 7 illus., 5 illus. in color.) |
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Collana |
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Springer Series in Operations Research and Financial Engineering, , 1431-8598 |
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Disciplina |
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Soggetti |
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Probabilities |
Statistics |
Applied mathematics |
Engineering mathematics |
Probability Theory and Stochastic Processes |
Statistical Theory and Methods |
Applications of Mathematics |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Regular variation -- Regularly varying random variables -- Regularly varying random vectors -- Dealing with extremal independence -- Regular variation of series and random sums -- Regularly varying time series -- Limit theorems -- Convergence of clusters-. Point process convergence -- Convergence to stable and extremal processes -- The tall empirical and quantile processes -- Estimation of cluster functionals -- Estimation for extremally independent time series -- Bootstrap -- Time series models -- Max-stable processes -- Markov chains -- Moving averages -- Long memory processes -- Appendices. . |
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Sommario/riassunto |
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This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while |
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including historical insights at each chapter’s conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence. |
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