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Discussion on“on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” 被引量:1

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摘要 Extreme value theory provides essential mathematical foundations formodelling tail risks and has wide applications.The emerging of big and heterogeneous data calls for the development of new extreme value theory and methods.For studying high-dimensional extremes and extreme clusters in time series,an important problem is how to measure and test for tail dependence between random variables.
出处 《Statistical Theory and Related Fields》 2021年第1期26-30,共5页 统计理论及其应用(英文)
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