Ordinal patterns in clusters of subsequent extremes of regularly varying time series

DOI10.1007/s10687-020-00391-2zbMath1468.62343arXiv1902.01237OpenAlexW3080658476MaRDI QIDQ2027087

Alexander Schnurr, Marco Oesting

Publication date: 21 May 2021

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.01237

zbMATH Keywords

clusteralpha-mixingratio estimatorasymptotic resultspeaks-over-thresholdempirical estimatorstail processordinal patternregularly varying time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Generalized ordinal patterns allowing for ties and their applications in hydrology

Cites Work

• Unnamed Item
• Unnamed Item
• Entropy determination based on the ordinal structure of a dynamical system
• Extremes on river networks
• Erratum to: ``Modeling clusters of extreme values
• Strong mixing properties of max-infinitely divisible random fields
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Modeling clusters of extreme values
• Towards estimating extremal serial dependence via the bootstrapped extremogram
• The extremogram: a correlogram for extreme events
• Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments
• Limit theorems for empirical processes of cluster functionals
• Inference for the limiting cluster size distribution of extreme values
• Regularly varying multivariate time series
• Stationary max-stable fields associated to negative definite functions
• Extremes and related properties of random sequences and processes
• Point processes and multivariate extreme values
• A spectral representation for max-stable processes
• Extremal behaviour of stationary Markov chains with applications
• An invariance principle for sums and record times of regularly varying stationary sequences
• The tail process revisited
• Inference on the tail process with application to financial time series modeling
• Clusters of extremes: modeling and examples
• Functional regular variations, Pareto processes and peaks over threshold
• A characterization of multivariate regular variation.
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• Semiparametric estimation for isotropic max-stable space-time processes
• Measures of serial extremal dependence and their estimation
• Asymptotic Properties of the Empirical Spatial Extremogram
• Asymptotic Theory of Weakly Dependent Random Processes
• Basic properties and prediction of max-ARMA processes
• TIME SERIES FROM THE ORDINAL VIEWPOINT
• Inference for Clusters of Extreme Values
• Exact simulation of max-stable processes
• Heavy-Tail Phenomena

This page was built for publication: Ordinal patterns in clusters of subsequent extremes of regularly varying time series