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Springer Series in Operations Research and Financial Engineering

Heavy-Tailed Time Series

Authors: Kulik, Rafal, Soulier, Philippe

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  • Provides a comprehensive and self-contained overview of extreme value theory for time series
  • Presents concise theoretical analysis of regular variation and weak convergence, with relation to time series  
  • Includes complete proofs and exercises with solutions 
  • Includes list of open problems to encourage future research​
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eBook $69.99
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  • ISBN 978-1-0716-0737-4
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Hardcover $89.99
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  • Due: August 2, 2020
  • ISBN 978-1-0716-0735-0
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
About this Textbook

This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapter’s conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.


About the authors

Rafal Kulik graduated from the University of Wroclaw, Poland. He is currently a Professor at the Department of Mathematics and Statistics, University of Ottawa. His research interests are centered around limit theorems for stochastic  processes with temporal dependence. 

Philippe Soulier graduated from Ecole Normale Supérieure de Paris and obtained his PhD at University Paris XI Orsay. He is Professor of Mathematics at University Paris Nanterre. His main themes of research are long memory processes and extreme value theory.

Table of contents (16 chapters)

Table of contents (16 chapters)

Buy this book

eBook $69.99
price for USA in USD (gross)
  • ISBN 978-1-0716-0737-4
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $89.99
price for USA in USD
  • Customers within the U.S. and Canada please contact Customer Service at +1-800-777-4643, Latin America please contact us at +1-212-460-1500 (24 hours a day, 7 days a week). Pre-ordered printed titles are excluded from promotions.
  • Due: August 2, 2020
  • ISBN 978-1-0716-0735-0
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
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Bibliographic Information

Bibliographic Information
Book Title
Heavy-Tailed Time Series
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2020
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media, LLC, part of Springer Nature
eBook ISBN
978-1-0716-0737-4
DOI
10.1007/978-1-0716-0737-4
Hardcover ISBN
978-1-0716-0735-0
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIX, 681
Number of Illustrations
2 b/w illustrations, 5 illustrations in colour
Topics

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