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Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024

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Mikosch T. Extreme Value Theory for Time Series.Models with Power-Law Tails 2024

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Category: Other
Total size: 114.61 MB
Added: 3 months ago (2025-06-11 14:06:01)

Share ratio: 12 seeders, 0 leechers
Info Hash: A6A104F2766D928912C31776CB544B263657822B
Last updated: 13 hours ago (2025-09-18 15:46:24)

Description:

Textbook in PDF format 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 models

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