Extreme Value Theory for Time Series

Name: Extreme Value Theory for Time Series
Brand: Springer Nature
SKU: 9783031591563
Availability: InStock

Best Price (Coupon Required):
Buy Extreme Value Theory for Time Series for $170.10 at @ Link.springer.com when you apply the 10% OFF coupon at checkout.
Click “Get Coupon & Buy” to copy the code and unlock the deal.

Set a price drop alert to never miss an offer.

1 Offer Price Range: $189.00 - $189.00

BEST PRICE

Single Product Purchase

$170.10

@ Link.springer.com with extra coupon

Price Comparison

Seller	Contact Seller	List Price	On Sale	Shipping	Best Promo	Final Price	Volume Discount	Financing	Availability	Seller's Page
BEST PRICE 1 Product Purchase @ Link.springer.com		$189.00	$189.00		10% OFF This deals requires coupon	$170.10		See Site	In stock	Visit Store

Product Details

Brand

Springer Nature

Manufacturer

N/A

Part Number

GTIN

9783031591563

Condition

New

Product Description

This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models. Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures. The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques. A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data. The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis. It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible.

Available Colors

N/A

Available Sizes

N/A