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Advanced Statistical Analysis

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Statistical Analysis of Extreme Values

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Abstract

Section 6.1 provides a discussion about non-random and random censoring. Especially, the sample df is replaced by the Kaplan-Meier estimate in the case of randomly censored data. In Section 6.2 we continue the discussion of Section 2.7 about the clustering of exceedances by introducing time series models and the extremal index. The insight gained from time series such as moving averages (MA), autoregressive (AR) and ARMA series will also be helpful for the understanding of time series like ARCH and GARCH which provide special models for financial time series, see Sections 16.7 and 16.8.

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© 2007 Birkhäuser Verlag AG

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(2007). Advanced Statistical Analysis. In: Statistical Analysis of Extreme Values. Birkhäuser Basel. https://doi.org/10.1007/978-3-7643-7399-3_6

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