{"product_id":"extreme-value-theory-for-time-series-models-with-power-law-tails-9783031591587","title":"Extreme Value Theory for Time Series: Models with Power-Law Tails","description":"\u003cp\u003e • Author(s): Thomas Mikosch | Olivier Wintenberger\u003cbr\u003e • Publisher: Springer\u003cbr\u003e • Publisher Imprint: Springer\u003cbr\u003e • BISAC: Probability \u0026amp; Statistics - General\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e \u003cp\u003eRigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures.\u003c\/p\u003e \u003cp\u003eThe remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques.\u003c\/p\u003e \u003cp\u003eA major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. \u003c\/p\u003e \u003cp\u003eThis text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data.\u003c\/p\u003e \u003cp\u003eThe book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis.\u003c\/p\u003e \u003cp\u003eIt 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.\u003c\/p\u003e \u003cp\u003e \u003c\/p\u003e \u003cp\u003e \u003c\/p\u003e","brand":"Springer","offers":[{"title":"Paperback","offer_id":47658190602391,"sku":"9783031591587","price":16159.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9783031591587.webp?v=1775817672","url":"https:\/\/atlanticbooks.com\/products\/extreme-value-theory-for-time-series-models-with-power-law-tails-9783031591587","provider":"Atlantic Books","version":"1.0","type":"link"}