A latent trawl process model for extreme values
This paper presents a new model for characterizing temporal dependence in exceedances above a given threshold. Our model is based on a class of stationary, infinitely divisible stochastic processes known as trawl processes. For use with extreme values, our model is constructed by embedding a trawl p...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Infopro digital
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |