Heavy tailed functional time series


Première édition

The goal of this thesis is to treat the temporal tail dependence and the cross-sectional tail dependence of heavy tailed functional time series. Functional time series are aimed at modelling spatio-temporal phenomena; for instance rain, temperature, pollution on a given geographical area, with temporally dependent observations. Heavy tails mean that the series can exhibit much higher spikes than with Gaussian distributions for instance. In such cases, second moments cannot be assumed to exist, violating the basic assumption in standard functional data analysis based on the sequence of autocovariance operators. As for random variables, regular variation provides the mathematical backbone for a coherent theory of extreme values. The main tools introduced in this thesis for a regularly varying functional time series are its tail process and its spectral process. These objects capture all the aspects of the probability distribution of extreme values jointly over time and space. The development of the tail and spectral process for heavy tailed functional time series is followed by three theoretical applications. The first application is a characterization of a variety of indices and objects describing the extremal behavior of the series: the extremal index, tail dependence coefficients, the extremogram and the point process of extremes. The second is the computation of an explicit expression of the tail and spectral processes for heavy tailed linear functional time series. The third and final application is the introduction and the study of a model for the spatio-temporal dependence for functional time series called maxima of moving maxima of continuous functions (CM3 processes), with the development of an estimation method.


Livre broché - En anglais 19,00 €

InfoPour plus d'informations à propos de la TVA et d'autres moyens de paiement, consultez la rubrique "Paiement & TVA".

Spécifications


Éditeur
Presses universitaires de Louvain
Partie du titre
Numéro 205
Auteur
Thomas Meinguet,
Collection
Thèses de la Faculté des sciences
Langue
anglais
BISAC Subject Heading
SCI000000 SCIENCE
Code publique Onix
06 Professionnel et académique
CLIL (Version 2013-2019 )
3051 SCIENCES FONDAMENTALES
Date de première publication du titre
01 août 2010
Type d'ouvrage
Thèse
Avec
Bibliographie
Langue originale
anglais

Paperback


Date de publication
01 janvier 2007
ISBN-13
9782802801801
Ampleur
Nombre de pages de contenu principal : 220
Code interne
9782802801801
Poids
330 grammes
Prix
40,00 €
ONIX XML
Version 2.1, Version 3

Google Livres Aperçu


Publier un commentaire sur cet ouvrage