Publication
Modelling Time Series Extremes
Résumé
The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the literature on extremes of dependent time series and list some remaining challenges.
Source officielle
À propos de ce résultat
Cette page est générée automatiquement et peut contenir des informations qui ne sont pas correctes, complètes, à jour ou pertinentes par rapport à votre recherche. Il en va de même pour toutes les autres pages de ce site. Veillez à vérifier les informations auprès des sources officielles de l'EPFL.
Concepts associés (14)
Rare events
Rare or extreme events are events that occur with low frequency, and often refers to infrequent events that have a widespread effect and which might destabilize systems (for example, stock markets, ocean wave intensity or optical fibers or society). Rare events encompass natural phenomena (major earthquakes, tsunamis, hurricanes, floods, asteroid impacts, solar flares, etc.), anthropogenic hazards (warfare and related forms of violent conflict, acts of terrorism, industrial accidents, financial and commodity market crashes, etc.
Modélisation financière
La modélisation financière consiste à représenter une situation financière grâce à un modèle mathématique, en fonction de différents paramètres. La modélisation financière facilite ainsi la prise de décision, en permettant de simuler divers scénarios et d’aboutir à des recommandations. La modélisation s’applique principalement à deux grands domaines de la finance, la finance d’entreprise et la finance de marché.
Hydrological model
A hydrologic model is a simplification of a real-world system (e.g., surface water, soil water, wetland, groundwater, estuary) that aids in understanding, predicting, and managing water resources. Both the flow and quality of water are commonly studied using hydrologic models. Prior to the advent of computer models, hydrologic modeling used analog models to simulate flow and transport systems. Unlike mathematical models that use equations to describe, predict, and manage hydrologic systems, analog models use non-mathematical approaches to simulate hydrology.