EXTREME VALUE THEORY AND STOCHASTIC PROCESSES

1972 ◽  
pp. 71-89
Author(s):  
M.R. LEADBETTER
Keyword(s):  
Stochastic Processes ◽  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value

Extreme value theory for a class of discrete distributions with applications to some stochastic processes

1970 ◽  
Vol 7 (01) ◽  
pp. 99-113 ◽  
Author(s):  
C. W. Anderson
Keyword(s):  
Stochastic Processes ◽  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Discrete Distributions ◽  
Independent Random Variables ◽  
Asymptotic Results ◽  
Common Distribution ◽  
Common Distribution Function ◽  
Positive Integers

Let ξn be the maximum of a set of n independent random variables with common distribution function F whose support consists of all sufficiently large positive integers. Some of the classical asymptotic results of extreme value theory fail to apply to ξn for such F and this paper attempts to find weaker ones which give some description of the behaviour of ξn as n → ∞. These are then applied to the extreme value theory of certain regenerative stochastic processes.

Extreme value theory for a class of discrete distributions with applications to some stochastic processes

1970 ◽  
Vol 7 (1) ◽  
pp. 99-113 ◽  
Author(s):  
C. W. Anderson
Keyword(s):  
Stochastic Processes ◽  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Discrete Distributions ◽  
Independent Random Variables ◽  
Asymptotic Results ◽  
Common Distribution ◽  
Common Distribution Function ◽  
Positive Integers

Let ξn be the maximum of a set of n independent random variables with common distribution function F whose support consists of all sufficiently large positive integers. Some of the classical asymptotic results of extreme value theory fail to apply to ξn for such F and this paper attempts to find weaker ones which give some description of the behaviour of ξn as n → ∞. These are then applied to the extreme value theory of certain regenerative stochastic processes.

Extreme Value Theory and Archimedean Copulas

2004 ◽  
Vol 2004 (3) ◽  
pp. 211-228 ◽  
Author(s):  
Mario V. Wüthrich
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Archimedean Copulas

Extreme Value Theory and Dependence.

1985 ◽  
Author(s):  
M. R. Leadbetter
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value

Efficient filtering of financial time series and extreme value theory

2005 ◽  
Vol 7 (2) ◽  
pp. 63-84 ◽  
Author(s):  
Kaj Nyström ◽  
Jimmy Skoglund
Keyword(s):  
Time Series ◽  
Extreme Value Theory ◽  
Financial Time Series ◽  
Value Theory ◽  
Extreme Value ◽  
Financial Time
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