Estimation of cluster functionals for regularly varying time series: sliding blocks estimators

DOI10.1214/21-EJS1843zbMath1471.62459arXiv2005.11378OpenAlexW3160935626MaRDI QIDQ2044397

Youssouph Cissokho, Rafał Kulik

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.11378

zbMATH Keywords

extremal indexextremesregularly varying time seriescluster index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Tail measures and regular variation ⋮ Estimation of cluster functionals for regularly varying time series: runs estimators ⋮ Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference ⋮ On the disjoint and sliding block maxima method for piecewise stationary time series

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