Heavy-Tailed Time Series / Springer Series in Operations Research and Financial Engineering (PDF)
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This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapter's conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.
Philippe Soulier graduated from Ecole Normale Supérieure de Paris and obtained his PhD at University Paris XI Orsay. He is Professor of Mathematics at University Paris Nanterre. His main themes of research are long memory processes and extreme value theory.
- Autoren: Rafal Kulik , Philippe Soulier
- 2020, 1st ed. 2020, 681 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 1071607375
- ISBN-13: 9781071607374
- Erscheinungsdatum: 01.07.2020
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- Grösse: 9.10 MB
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