Modeling clusters of extreme values

DOI10.1007/s10687-013-0176-3zbMath1302.62115OpenAlexW2000275146MaRDI QIDQ483518

Natalia M. Markovich

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0176-3

zbMATH Keywords

clusterextremal indexexceedancecluster durationextremes of time seriesreturn interval

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (10)

Extreme values in ON/OFF models of teletraffic under permanent and periodic measurements ⋮ Clusters of extremes: modeling and examples ⋮ Maxima and sums of non-stationary random length sequences ⋮ On extremal indices greater than one for a scheme of series ⋮ On the measurement and treatment of extremes in time series ⋮ On Extremal Index of max-stable stationary processes ⋮ Distributions of Clusters of Exceedances and Their Applications in Telecommunication Networks ⋮ Ordinal patterns in clusters of subsequent extremes of regularly varying time series ⋮ MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES ⋮ Erratum to: ``Modeling clusters of extreme values

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