Modelling extremes of time-dependent data by Markov-switching structures

Journal of Statistical Planning and Inference

Volumn 139, Issue 6, 2009, Pages 1953-1967

  Elek, Péter ^a,b   Zempléni, András ^b  

^a Ministry of Finance   (Hungary)

^b EÖTVÖS LORÁND UNIVERSITY   (Hungary)

Author keywords

Extremal clusters; Extreme value theory; Flood risk assessment; Markov chains; Markov switching models

Indexed keywords

EID: 60949088452     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2008.08.022     Document Type: Article

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