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A New Estimator For The Extremal Index

Posted on:2008-03-27Degree:MasterType:Thesis
Country:ChinaCandidate:S F YanFull Text:PDF
GTID:2120360212991219Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
We primary discuss the extreme value theory for multiplicative time series models in this paper. A short introduction to the classical extreme value theory is firstly given in Chapter 2. In Chapter 3, we study the causes of the extreme values for multiplicative time series models via simulation. A new method of estimate the extremal index for multiplicative time series model is studied in Chapter 4. Finally ,we apply the new approach to some real time series data.
Keywords/Search Tags:Extremal Index, Extreme Value Index, Extreme value theory, Multiplicative model, Two-threshold Index, Multi-threshold Index, GARCH, ARCH, SV
PDF Full Text Request
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