Functionals of clusters of extremes

DOI10.1239/aap/1067436333zbMath1043.60043MaRDI QIDQ4454111

Johan Segers

Publication date: 7 March 2004

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/948d700b-a923-4068-b4ad-3df2968bd139

zbMATH Keywords

extremal index; stationary sequence; extreme-value distribution; threshold exceedance; tail sequence; cluster functional

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Related Items

Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals, Clustering of Markov chain exceedances, Bayesian uncertainty management in temporal dependence of extremes, A functional limit theorem for dependent sequences with infinite variance stable limits, The extremal index for GARCH(1,1) processes, Limit theorems for empirical processes of cluster functionals, Some aspects of extreme value statistics under serial dependence, Regularly varying multivariate time series, On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring, Extremes of stationary random fields on a lattice, Approximate distributions of clusters of extremes

Cites Work

• Unnamed Item
• Unnamed Item
• Stationary min-stable stochastic processes
• A spectral representation for max-stable processes
• Extreme values for stationary and Markov sequences
• On a basis for peaks over threshold modeling
• Statistical inference using extreme order statistics
• On the distribution of tail array sums for strongly mixing stationary sequences
• The extremal index of a higher-order stationary Markov chain
• Extremal behaviour of stationary Markov chains with applications
• Domains of attraction of multivariate extreme value distributions
• The extremal index for a Markov chain
• Models for the extremes of Markov chains
• Markov chain models for threshold exceedances
• The distributions of cluster functionals of extreme events in a dth-order Markov chain
• Diagnostics for Dependence within Time Series Extremes
• Extremes and local dependence in stationary sequences