Rare Events, Temporal Dependence and the Extremal Index

J.J.J. Segers

Research output: Working paperDiscussion paperOther research output

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Abstract

AMS classifications: 60G70; 62G32;
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages30
Volume2006-7
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-7

Fingerprint

accelerator mass spectrometry
index

Keywords

  • block maximum
  • exceedance
  • extremal index
  • failure set
  • mixing condition
  • M4 process
  • rare event
  • stationary sequence

Cite this

Segers, J. J. J. (2006). Rare Events, Temporal Dependence and the Extremal Index. (CentER Discussion Paper; Vol. 2006-7). Tilburg: Econometrics.
Segers, J.J.J. / Rare Events, Temporal Dependence and the Extremal Index. Tilburg : Econometrics, 2006. (CentER Discussion Paper).
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Segers, JJJ 2006 'Rare Events, Temporal Dependence and the Extremal Index' CentER Discussion Paper, vol. 2006-7, Econometrics, Tilburg.

Rare Events, Temporal Dependence and the Extremal Index. / Segers, J.J.J.

Tilburg : Econometrics, 2006. (CentER Discussion Paper; Vol. 2006-7).

Research output: Working paperDiscussion paperOther research output

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KW - block maximum

KW - exceedance

KW - extremal index

KW - failure set

KW - mixing condition

KW - M4 process

KW - rare event

KW - stationary sequence

M3 - Discussion paper

VL - 2006-7

T3 - CentER Discussion Paper

BT - Rare Events, Temporal Dependence and the Extremal Index

PB - Econometrics

CY - Tilburg

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Segers JJJ. Rare Events, Temporal Dependence and the Extremal Index. Tilburg: Econometrics. 2006. (CentER Discussion Paper).