Method of moments estimators for the extremal index of a stationary time series
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Publication:2199704
DOI10.1214/20-EJS1734zbMath1448.62131arXiv1912.08584MaRDI QIDQ2199704
Publication date: 14 September 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.08584
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10)
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Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution ⋮ Some variations on the extremal index ⋮ Statistics for heteroscedastic time series extremes
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