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Télécharger le livre : Extreme Value Theory for Time Series
Thomas Mikosch , Olivier Wintenberger
Extreme Value Theory for Time Series
This 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...
Editeur : Springer
Parution : 2024-08-02

Format(s) : PDF, ePub
232,09 €
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