Extreme values for stationary and Markov sequences

From MaRDI portal
Revision as of 01:09, 31 January 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:1089669

DOI10.1214/aop/1176992270zbMath0619.60025OpenAlexW1983161968WikidataQ105584334 ScholiaQ105584334MaRDI QIDQ1089669

George L. O'Brien

Publication date: 1987

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992270




Related Items (76)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measuresOn some estimates based on sample behavior near high level excursionsExtremal behavior of the autoregressive process with ARCH(1) errorsImproving financial risk assessment through dependencyThe multivariate extremal index and the dependence structure of a multivariate extreme value distributionRare events for stationary processes.Extremal clustering in non-stationary random sequencesExtremes and clustering of nonstationary max-AR(1) sequencesExtremes of Markov sequencesQuenched phantom distribution functions for Markov chainsAdaptive Choice and Resampling Techniques in Extremal Index EstimationA large deviations approach to limit theory for heavy-tailed time seriesOn the characterization of certain point processesAsymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilitiesHigh level exceedances in stationary sequences with extremal indexClustering of upcrossings of high valuesEstimation and inference about tail features with tail censored dataAsymptotics of the order statistics for a process with a regenerative structureComputing the extremal index of special Markov chains and queuesJoint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arraysMaxima of a triangular array of multivariate Gaussian sequencePhantom distribution functions for some stationary sequencesExtreme values statistics for Markov chains via the (pseudo-) regenerative methodSome variations on the extremal indexMethod of moments estimators for the extremal index of a stationary time seriesDiagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M EstimatorsExtreme value theory for a sequence of suprema of a class of Gaussian processes with trendThe extremal index for GARCH(1,1) processesThe asymptotic distribution of the maxima of a Gaussian random field on a latticeA sliding blocks estimator for the extremal indexRelative extremal index of two stationary processesDynamical counterexamples regarding the extremal index and the mean of the limiting cluster size distributionThe distribution of the maximum of a first order moving average: the continuous caseModeling clusters of extreme valuesExtremal indices, geometric ergodicity of Markov chains and MCMCImpossibility of consistent estimation of the distribution function of a sample maximumEditorial: Special issue on time series extremesBayesian uncertainty management in temporal dependence of extremesSubsampling weakly dependent time series and application to extremesMinimal conditions in \(p\)-stable limit theoremsWeak convergence of a pseudo maximum likelihood estimator for the extremal indexAnother approach to Brownian motionThe extremal index, hitting time statistics and periodicityThe upcrossings index and the extremal indexConvergence to Lévy stable processes under some weak dependence conditionsModeling rare events through a \(p\)RARMAX processRegular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk MeasuresOn maxima of stationary fieldsInference for the limiting cluster size distribution of extreme valuesDirectional phantom distribution functions for stationary random fieldsAsymptotics for sliding blocks estimators of rare eventsAsymptotic \((r-1)\)-dependent representation for \(r\)th order statistic from a stationary sequenceOn the max-semistable limit of maxima of stationary sequences with missing values\(\alpha\)-stable limit theorems for sums of dependent random vectorsStationary self-similar extremal processesOn a loss of memory property of the maximumFunctionals of clusters of extremesManaging local dependencies in asymptotic theory for maxima of stationary random fieldsEstimating tail decay for stationary sequences via extreme valuesAlmost sure relative stability of the maximum of a stationary sequenceExtreme events of Markov chainsA Note on the Extremal Index for Space-Time ProcessesModeling extreme events: sample fraction adaptive choice in parameter estimationExtremes of stationary random fields on a latticeRare events, temporal dependence, and the extremal indexRare events for Cantor target setsClustering indices and decay of correlations in non-Markovian modelsOn the computation of the extremal index for time seriesThe extremal index of a higher-order stationary Markov chainOn blocks and runs estimators of the extremal indexExtremes of Homogeneous Gaussian Random FieldsApproximate distributions of clusters of extremesBootstrap and Other Resampling Methodologies in Statistics of ExtremesRare events for product fractal sets *Functional weak convergence of partial maxima processesErratum to: ``Modeling clusters of extreme values






This page was built for publication: Extreme values for stationary and Markov sequences