A self-exciting marked point process model for drought analysis
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Cites work
- A cluster process representation of a self-exciting process
- A review of self-exciting spatio-temporal point processes and their applications
- An introduction to statistical modeling of extreme values
- An Introduction to the Theory of Point Processes
- Bayesian inference for Hawkes processes
- Distribution Theory of Runs: A Markov Chain Approach
- Estimating value-at-risk: a point process approach
- Extended generalised Pareto models for tail estimation
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Extreme values for stationary and Markov sequences
- Extremes and related properties of random sequences and processes
- Flexible semiparametric generalized Pareto modeling of the entire range of rainfall amount
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- Inference for Clusters of Extreme Values
- Limiting forms of the frequency distribution of the largest or smallest member of a sample.
- Marked point processes in discrete time
- Modeling extreme negative returns using marked renewal Hawkes processes
- Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds
- Multivariate Hawkes processes: an application to financial data
- On Lewis' simulation method for point processes
- Quantitative risk management. Concepts, techniques and tools
- Remarks on the theory, computation and application of the spectral analysis of series of events
- Simulation of nonhomogeneous poisson processes by thinning
- Space-time point-process models for earthquake occurrences
- Spectra of some self-exciting and mutually exciting point processes
- Statistical inference using extreme order statistics
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
Cited in
(6)- A notable Gamma-Lindley first-order autoregressive process: an application to hydrological data
- A flexible extended generalized Pareto distribution for tail estimation
- Nonparametric estimation of variable productivity Hawkes processes
- Approximation of Bayesian Hawkes process with \texttt{inlabru}
- Efficient non-parametric estimation of variable productivity Hawkes processes
- A Factor-Copula Latent-Vine Time Series Model for Extreme Flood Insurance Losses
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