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Diagnostics for dependence within time series extremes

โœ Scribed by Anthony W. Ledford; Jonathan A. Tawn

Book ID
108547696
Publisher
Blackwell Publishing
Year
2003
Tongue
English
Weight
313 KB
Volume
65
Category
Article
ISSN
0952-8385

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Deletion diagnostics are derived for the effect of individual observations on the estimated transformation of a time series. The paper uses the modified power transformation of Box and Cox to provide a paramemc family of transformations. Inference about the transformation parameter is made through r