Approximate distributions of clusters of extremes

DOI10.1016/J.SPL.2005.04.054MaRDI QIDQ2573256zbMATH OpenOpenAlexFDO

Authors Johan Segers

Publication date 7 November 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://pure.uvt.nl/portal/en/publications/approximate-distributions-of-clusters-of-extremes(443e619d-453d-4a3c-b2f3-52d4e605d074).html

zbMATH Keywords

extremal indexmaximumstationary sequencescluster of extremesthreshold exceedance

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cites work

• Estimating the parameters of rare events
• Extremal behaviour of stationary Markov chains with applications
• Extremal index estimation for a weakly dependent stationary sequence
• Extreme values for stationary and Markov sequences
• Extremes and local dependence in stationary sequences
• Functionals of clusters of extremes
• Markov chain models for threshold exceedances
• The distributions of cluster functionals of extreme events in a dth-order Markov chain
• The extremal index for a Markov chain
• The extremal index of a higher-order stationary Markov chain
• The maximum term of uniformly mixing stationary processes

Cited in

(21)

• Modeling clusters of extreme values
• A functional limit theorem for dependent sequences with infinite variance stable limits
• Distributions of clusters of exceedances and their applications in telecommunication networks
• Maxima of moving maxima of continuous functions
• Regularly varying multivariate time series
• Extremes of stationary random fields on a lattice
• A large deviations approach to limit theory for heavy-tailed time series
• scientific article; zbMATH DE number 6303991 (Why is no real title available?)
• A large deviation theory-based analysis of heat waves and cold spells in a simplified model of the general circulation of the atmosphere
• Some variations on the extremal index
• Functionals of clusters of extremes
• On the distribution of the extremes of unequally correlated normal variables with applications to antedependent cluster data
• Asymptotic conditional distribution of exceedance counts
• Inference for Clusters of Extreme Values
• Estimation of extreme values by the average conditional exceedance rate method
• Extremal clustering under moderate long range dependence and moderately heavy tails
• Clustering of Markov chain exceedances
• On Extremal Index of max-stable stationary processes
• Duration distribution of a conjunction
• Clusters of extremes: modeling and examples
• Limit theorems for empirical processes of cluster functionals

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