Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
Crossref DOI link: https://doi.org/10.1007/s10687-016-0251-7
Published Online: 2016-04-19
Published Print: 2016-09
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Davis, Richard A.
Heiny, Johannes
Mikosch, Thomas
Xie, Xiaolei
Funding for this research was provided by:
ARO MURI (W911NF-12-1-0385)
Danish Research Council (DFF-4002-00435)
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