Extreme Value Theory for Space-Time Processes With Heavy ...rdavis/lectures/Aveiro_04.pdf ·...
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1 Extreme Value Theory for Space Extreme Value Theory for Space - - Time Processes Time Processes With Heavy With Heavy - - Tailed Distributions Tailed Distributions Richard A. Davis Colorado State University www.stat.colostate.edu/~rdavis Thomas Mikosch University of Copenhagen
Transcript of Extreme Value Theory for Space-Time Processes With Heavy ...rdavis/lectures/Aveiro_04.pdf ·...
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Extreme Value Theory for SpaceExtreme Value Theory for Space--Time ProcessesTime ProcessesWith HeavyWith Heavy--Tailed DistributionsTailed Distributions
Richard A. DavisColorado State University
www.stat.colostate.edu/~rdavis
Thomas MikoschUniversity of Copenhagen
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110 5 10 15 20
x_1
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Figure: plot of (Zt1,Zt2) for realization of 10,000.
12-10 0 10 20 30x_t
-10
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x_{t+
1}Figure: plot of (Zt, Zt+1) for realization of 10,000.
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