most citedThe realization problem for tail correlation functions

1 citations · 1 across the 1 of their papers we have counts for

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2 papers

math.PR2014★ 1 cited

The realization problem for tail correlation functions

Ulf-Rainer Fiebig, Kirstin Strokorb, Martin Schlather

For a stochastic process with identical one-dimensional margins and upper endpoint its tail correlation function (TCF) is defined through $χ^{(X…

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…