Big Data

Nonstationary Extremes And The US Business Cycle

Date Added: Mar 2010
Format: PDF

Considerable attention has been devoted to the statistical analysis of extreme events. Classical peaks over threshold methods are a popular modeling strategy for extreme value statistics of stationary data. For non-stationary series a variant of the peaks over threshold analysis is routinely applied using covariates as a means to overcome the lack of stationary in the series of interest. In this paper the author concern ourselves with extremes of possibly non-stationary processes. Given that the approach is, in some way, linked to the celebrated Box-Jenkins method, the author refers to the procedure proposed and applied herein as Box-Jenkins-Pareto.