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On the measurement and treatment of extremes in time series

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Abstract

The paper reviews the topic of extremal time series. The literature documenting the presence of extremes in time series data is first reviewed, followed by a discussion of various probabilistic measures, along with the associated statistical inference problems. The impact of extremes upon statistical analyses is discussed, and the connection to extremal latent components is emphasized. Two data sets illustrate the methods.

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  1. US Census Bureau, Washington, DC, USA

    Tucker McElroy

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McElroy, T. On the measurement and treatment of extremes in time series. Extremes 19, 467–490 (2016). https://doi.org/10.1007/s10687-016-0254-4

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