Diagnostics for dependence within time series extremes

By Anthony Ledford, Jonathan A. Tawn. 2003

158 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/f31d34e2af1f9dc65938a26cb5d68dc6283477b3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. C. Davison
2. Sidney I. Resnick
3. Richard A. Davis
4. V. Chavez‐Demoulin
5. Thomas Mikosch
6. Jonathan A. Tawn
7. Marc-Olivier Boldi
8. Janet E. Heffernan

In Finance

1. A. C. Davison
2. Raphaël Huser
3. Sidney I. Resnick
4. Jonathan A. Tawn
5. Thomas Mikosch
6. V. Chavez‐Demoulin
7. Richard A. Davis
8. Mehdi Mohammad Gholamrezaee

In Global and Planetary Change

1. A. C. Davison
2. Sidney I. Resnick
3. Jonathan A. Tawn
4. Raphaël Huser
5. V. Chavez‐Demoulin
6. Mehdi Mohammad Gholamrezaee
7. Marc-Olivier Boldi
8. Janet E. Heffernan

Citations in the corpus

• Modelling Time Series Extremes (2012, methodology): “…defined in terms of ratios of indicator functions for finite u, and their significance assessed by permuting the original series (Davis & Mikosch, 2009b), but the joint probability model corresponding to the equivalence above is needed to estimate Λh using maximum likelihood (Ledford & Tawn, 2003).”
• The Extremal Dependence Measure and Asymptotic Independence (2004, background): “Also, Ledford and Tawn 34 investigate extremal dependence structure in stationary time series.”
• Geostatistics of extremes (2012, background): “Important further developments to deal with these near-independence cases are owing to Ledford & Tawn (1996, 1997, 2003), who have, in an important series of papers, described diagnostics for more subtle dependencies in the joint tails for several variables than are allowed by the classical theory,…”
• The extremogram: a correlogram for extreme events (2009, methodology): “We refer, for example, to the discussions in Ledford and Tawn [25] and Beirlant et al. [3] on the tail dependence coefficient.”
• A mixture model for multivariate extremes (2007, background): “Thus, although our model does not encompass asymptotic independence in the sense of Ledford and Tawn (1996, 1997, 2003), the results may suggest inadequacies with models that allow only asymptotic dependence.”
• A conditional approach for multivariate extreme values (with discussion) (2004, background): “Ledford and Tawn (1996, 1997) proposed a bivariate threshold model to overcome this limitation, which has been explored and developed by Bortot and Tawn (1998), Peng (1999), Coles et al. (1999), Bortot et al. (2000), Heffernan (2000), Draisma et al. (2003) and Ledford and Tawn (2003).”