QRM 8-1: EVT meets TS (maxima of non i.i.d. observations)
Автор: The Logic of Risk
Загружено: 2020-05-25
Просмотров: 1115
Описание:
Welcome to Quantitative Risk Management (QRM).
In Lesson 8 we consider some final topics of TS.
In this first video, we start by discussing what happens to the modelling of maxima, using EVT, when the underlying data are not i.i.d., but they rather constitute a proper time series (say an ARMA).
We will see that some extra conditions need to be imposed, but that we can also characterise the dependence in the data in a brand new and useful way, using the so-called extremal index.
Topics:
00:00 Welcome
01:14 Maxima of non i.i.d. observations
02:19 The D conditions
13:07 A more general Fisher-Tippett theorem
14:02 The extremal index
18:24 The block method
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