Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods. - Ajay Jasra; Nikolas Kantas; Elena Ehrlich (ACM Trans. Model. Comput. Simul., 2014)

Spliced Binned-Pareto Distribution for Robust Modeling of Heavy-tailed Time Series. - Elena Ehrlich; Laurent Callot; François-Xavier Aubet (CoRR, 2021)