Change point analysis of extreme values

Environmetrics

Volumn 21, Issue 7-8, 2010, Pages 661-686

  Dierckx, G ^a,b   Teugels, J L ^b,c  

^a HOGESCHOOL UNIVERSITEIT BRUSSEL   (Belgium)

^b UNIVERSITY OF LEUVEN   (Belgium)

^c EURANDOM   (Netherlands)

Author keywords

change point analysis; earthquake analysis; extreme value index; extreme value theory; generalized Pareto distribution; maximum likelihood; precipitation; stock market index

Indexed keywords

CRITICAL ANALYSIS; LIMIT ANALYSIS; MAXIMUM LIKELIHOOD ANALYSIS; RANDOM WALK METHOD; SCALE EFFECT; STOCK MARKET;

EID: 78650649639     PISSN: 11804009     EISSN: 1099095X     Source Type: Journal    
DOI: 10.1002/env.1041     Document Type: Article

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