449 citations · 986 across the 29 of their papers we have counts for
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math.PR2011
Joint Extremal Behavior of Hidden and Observable Time Series with an Application to GARCH Processes
Andree Ehlert, Ulf-Rainer Fiebig, Anja Janßen +1
We study the behavior of a real-valued and unobservable process (Y_t) under an extreme event of a related process (X_t) that is observable. Our analysis is motivated by the well-kn…
math.ST2011★ 70 cited
Some covariance models based on normal scale mixtures
Martin Schlather
Modelling spatio-temporal processes has become an important issue in current research. Since Gaussian processes are essentially determined by their second order structure, broad cl…