序列相关下极值理论的若干问题
Some aspects of extreme value theory under serial dependence
摘要：
在Laurens de Haan诞辰70周年之际，我们讨论了时间序列的极值行为的统计推断的两个方面，特别强调了他的重要贡献。首先，一个直接的边际尾部分析的性能进行比较，基于模型的方法，使用残差分析。其次，通过一个随机递归方程解的例子，讨论了极值指数作为序列极值相关性度量的重要性。
英文摘要：
On the occasion of Laurens de Haan's 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on his important contributions. First, the performance of a direct marginal tail analysis is compared with that of a model-based approach using an analysis of residuals. Second, the importance of the extremal index as a measure of the serial extremal dependence is discussed by the example of solutions of a stochastic recurrence equation.
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