Some variations on the extremal index
From MaRDI portal
Publication:6174430
DOI10.1007/s10958-023-06533-8zbMath1515.60163arXiv2106.05117OpenAlexW4287122414MaRDI QIDQ6174430
Gloria Buriticá, Olivier Wintenberger, Thomas Mikosch, Nicolas Meyer
Publication date: 14 July 2023
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.05117
Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An efficient semiparametric maxima estimator of the extremal index
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- Likelihood estimation of the extremal index
- Model misspecification in peaks over threshold analysis
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Spectral representations of sum- and max-stable processes
- Implicit renewal theory and tails of solutions of random equations
- Inference for the limiting cluster size distribution of extreme values
- Regularly varying multivariate time series
- Extremes and related properties of random sequences and processes
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- A spectral representation for max-stable processes
- Extreme values for stationary and Markov sequences
- Random difference equations and renewal theory for products of random matrices
- Extremal index estimation for a weakly dependent stationary sequence
- Ladder heights, Gaussian random walks and the Riemann zeta function
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Limit theorems for the maximum term of a stationary process
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- A sliding blocks estimator for the extremal index
- Method of moments estimators for the extremal index of a stationary time series
- Approximate distributions of clusters of extremes
- Stochastic Models with Power-Law Tails
- Random Measures, Theory and Applications
- Extreme values of independent stochastic processes
- Inference for Clusters of Extreme Values
- Applied Probability and Queues
- Extremes and local dependence in stationary sequences
- Heavy-Tailed Time Series
- Heavy-Tail Phenomena
- Extreme Values in Uniformly Mixing Stationary Stochastic Processes
- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
- Asymptotic Extremes for $m$-Dependent Random Variables
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
