Publication

Bayesian Uncertainty Management in Temporal Dependence of Extremes

Anthony Christopher Davison, Thomas Lugrin, Jonathan A. Tawn
2016
Journal paper

Abstract

Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long- and short-range dependence of extremes may both appear. In applications, an assumption of long-range independence often seems reasonable, but short-range dependence, i.e., the clustering of extremes, needs attention. The extremal index $0

Official source

https://infoscience.epfl.ch/record/213786?ln=en

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Bayesian Uncertainty Management in Temporal Dependence of Extremes

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