High-level dependence in time series models

@article{Fasen2010HighlevelDI,
  title={High-level dependence in time series models},
  author={Vicky Fasen and Claudia Kl{\"u}ppelberg and Martin Schlather},
  journal={Extremes},
  year={2010},
  volume={13},
  pages={1-33}
}
We present several notions of high-level dependence for stochastic processes, which have appeared in the literature. We calculate such measures for discrete and continuous-time models, where we concentrate on time series with heavy-tailed marginals, where extremes are likely to occur in clusters. Such models include linear models and solutions to random recurrence equations; in particular, discrete and continuous-time moving average and (G)ARCH processes. To illustrate our results we present a… CONTINUE READING

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