Clusters of extremes: modeling and examples
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Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
Recommendations
- Modeling clusters of extreme values
- Modelling the clustering of extreme events for short-term risk assessment
- Approximate distributions of clusters of extremes
- Multilevel clustering of extremes.
- Clustering of extreme events created by multiple correlated maxima
- Dispersion models for extremes
- Spatial extremes: models for the stationary case
- Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds
- Erratum to: ``Modeling clusters of extreme values
Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A comparison of methods for estimating the extremal index
- A functional limit theorem for dependent sequences with infinite variance stable limits
- A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
- Applied Probability and Queues
- Automatic declustering of rare events
- Calculating the extremal index for a class of stationary sequences
- Erratum to: ``Modeling clusters of extreme values
- Extremal Analysis of Processes Sampled at Different Frequencies
- Extremes and related properties of random sequences and processes
- Extremes in autoregressive processes with uniform marginal distributions
- Inference for Clusters of Extreme Values
- Inference for the limiting cluster size distribution of extreme values
- Maxima and exceedances of stationary Markov chains
- Modeling clusters of extreme values
- On limiting cluster size distributions for processes of exceedances for stationary sequences
- Phantom distribution functions for some stationary sequences
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Regularly varying multivariate time series
- Stochastic-Process Limits
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
Cited in
(11)- Approximate distributions of clusters of extremes
- On extremal indices greater than one for a scheme of series
- Modeling clusters of extreme values
- Distributions of clusters of exceedances and their applications in telecommunication networks
- Maxima and sums of non-stationary random length sequences
- Invariance properties of limiting point processes and applications to clusters of extremes
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series
- Clustering indices and decay of correlations in non-Markovian models
- Modelling the clustering of extreme events for short-term risk assessment
- Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
- Automatic declustering of rare events
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