Clusters of extremes: modeling and examples

DOI10.1007/s10687-017-0285-5zbMath1421.62128OpenAlexW2590774096MaRDI QIDQ1692076

Natalia M. Markovich

Publication date: 26 January 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-017-0285-5

zbMATH Keywords

clusterextremal indexexceedancecluster durationextremes of time seriesreturn interval

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Maxima and sums of non-stationary random length sequences ⋮ On extremal indices greater than one for a scheme of series ⋮ Ordinal patterns in clusters of subsequent extremes of regularly varying time series

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