  We study four different approaches to model time-dependent extremal behavior:
dynamics introduced by (a) a state-space model (SSM), (b) a shot-noise-type
process with GPD marginals, (c) a copula-based autoregressive model with GPD
marginals, and (d) a GLM with GPD marginals (and previous extremal events as
regressors). Each of the models is fit against data, and from the fitted data,
we simulate corresponding paths according to the respective fitted models. At
this simulated data, the respective dependence structure is analyzed in copula
plots and judged against its capacity to fit the corresponding inter-arrival
distribution.
