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20112024
most citedOn a minimum distance procedure for threshold selection in tail analysis

23 citations · 48 across the 9 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…