Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities

DOI10.1016/j.jspi.2009.03.010zbMath1168.62015MaRDI QIDQ2388961

Christian Y. Robert

Publication date: 22 July 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.03.010

zbMATH Keywords

extremal index; extreme value statistics; point process of exceedances; interval estimators; cluster-size distribution

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62G32: Statistics of extreme values; tail inference

62M99: Inference from stochastic processes

Related Items

On the measurement and treatment of extremes in time series, Measures of serial extremal dependence and their estimation

Cites Work

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