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

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

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

Abstract

Official source

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

About this result

Ontological neighbourhood

Health sciences

Psychiatry: Topics in psychiatry

Related concepts (32)

Alcohol dependence is a previous (DSM-IV and ICD-10) psychiatric diagnosis in which an individual is physically or psychologically dependent upon alcohol (also chemically known as ethanol). In 2013, it was reclassified as alcohol use disorder in DSM-5, which combined alcohol dependence and alcohol abuse into this diagnosis.

Substance dependence, also known as drug dependence, is a biopsychological situation whereby an individual's functionality is dependent on the necessitated re-consumption of a psychoactive substance because of an adaptive state that has developed within the individual from psychoactive substance consumption that results in the experience of withdrawal and that necessitates the re-consumption of the drug. A drug addiction, a distinct concept from substance dependence, is defined as compulsive, out-of-control drug use, despite negative consequences.

Long-range dependence (LRD), also called long memory or long-range persistence, is a phenomenon that may arise in the analysis of spatial or time series data. It relates to the rate of decay of statistical dependence of two points with increasing time interval or spatial distance between the points. A phenomenon is usually considered to have long-range dependence if the dependence decays more slowly than an exponential decay, typically a power-like decay. LRD is often related to self-similar processes or fields.

Related publications (37)

Bayesian Uncertainty Management in Temporal Dependence of Extremes

Graph Chatbot

Chat with Graph Search

SPHARMA approximations for stationary functional time series on the sphere

The n-term Approximation of Periodic Generalized Levy Processes

On the probability distribution of the local times of diagonally operator-self-similar Gaussian fields with stationary increments

The n-term Approximation of Periodic Generalized Levy Processes

On the probability distribution of the local times of diagonally operator-self-similar Gaussian fields with stationary increments

SPHARMA approximations for stationary functional time series on the sphere