Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; … - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3241-3259
extreme value distribution is extended to incorporate the time-dependence using a state space representation where the state …A new state space approach is proposed to model the time-dependence in an extreme value process. The generalized …