2 papers
stat.ME2015
A latent trawl process model for extreme values
Ragnhild C. Noven, Almut E. D. Veraart, Axel Gandy
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, i…
stat.ME2014
A Lévy-driven rainfall model with applications to futures pricing
Ragnhild C. Noven, Almut E. D. Veraart, Axel Gandy
We propose a parsimonious stochastic model for characterising the distributional and temporal properties of rainfall. The model is based on an integrated Ornstein-Uhlenbeck process…