Some aspects of extreme value theory under serial dependence

Holger Drees

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arXiv · 0710.5879

Some aspects of extreme value theory under serial dependence

Holger Drees

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Abstract

On the occasion of Laurens de Haan's 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on his important contributions. First, the performance of a direct marginal tail analysis is compared with that of a model-based approach using an analysis of residuals. Second, the importance of the extremal index as a measure of the serial extremal dependence is discussed by the example of solutions of a stochastic recurrence equation.

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Holger Drees. 2007-10-31. Some aspects of extreme value theory under serial dependence. https://arxiv.org/abs/0710.5879

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