Whether doing parametric or nonparametric regression with shrinkage, thresholding, penalized likelihood, Bayesian posterior estimators (e.g., "ridge regression, lasso, principal component regression, waveshrink" or "Markov random field"), it is common practice to rescale covariates by dividing...

Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some series, nonstationarity is a feature that has been somewhat overlooked. This may however be a highly relevant feature when estimating extreme...