Subsampling techniques and the jackknife methodology in the estimation of the extremal index
From MaRDI portal
Publication:1023534
DOI10.1016/j.csda.2007.06.023zbMath1452.62336OpenAlexW2082656180WikidataQ59441869 ScholiaQ59441869MaRDI QIDQ1023534
Andreia Hall, M. Ivette Gomes, M. Cristina Miranda
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.06.023
Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Adaptive Choice and Resampling Techniques in Extremal Index Estimation ⋮ Jackknife method for the location of gross errors in weighted total least squares ⋮ Estimating the upcrossings index ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ On the measurement and treatment of extremes in time series ⋮ Estimation of the extremal index using censored distributions ⋮ Modelling extremes of time-dependent data by Markov-switching structures ⋮ Modeling extreme events: sample fraction adaptive choice in parameter estimation ⋮ Improved interexceedance-times-based estimator of the extremal index using truncated distribution ⋮ Bootstrap and Other Resampling Methodologies in Statistics of Extremes ⋮ A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bias reduction in risk modelling: semi-parametric quantile estimation
- Comparison of time series using subsampling
- Extremes and related properties of random sequences and processes
- On the exceedance point process for a stationary sequence
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- How to make a Hill plot.
- Generalized jackknife semi-parametric estimators of the tail index
- The extremal index of sub-sampled processes
- Reduced‐bias tail index estimation and the jackknife methodology
- An extremal markovian sequence
- Calculating the extremal index for a class of stationary sequences
- Multivariate extreme‐value distributions with applications to environmental data
- Maximum term of a particular autoregressivesequence with discrete margins
- On the multivariate extremal index
- Extremes of Some Sub-Sampled Time Series
- Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations
- Extremal Analysis of Processes Sampled at Different Frequencies
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A simple second-order reduced bias’ tail index estimator
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
