Some variations on the extremal index (Q6174430)

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scientific article; zbMATH DE number 7712767

Language	Label	Description	Also known as
English	Some variations on the extremal index	scientific article; zbMATH DE number 7712767

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scholarly article

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Some variations on the extremal index (English)

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zbMATH Open document ID

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10.1007/s10958-023-06533-8

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Gloria Buriticá

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Olivier Wintenberger

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Journal of Mathematical Sciences (New York)

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publication date

14 July 2023

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full work available at URL

https://arxiv.org/abs/2106.05117

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

extremal index

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AR(1) process

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MaRDI profile type

MaRDI publication profile

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Applied Probability and Queues

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Regularly varying multivariate time series

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Weak convergence of a pseudo maximum likelihood estimator for the extremal index

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Extreme values of independent stochastic processes

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Method of moments estimators for the extremal index of a stationary time series

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Stochastic Models with Power-Law Tails

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Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference

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Ladder heights, Gaussian random walks and the Riemann zeta function

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Point process and partial sum convergence for weakly dependent random variables with infinite variance

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Limit theory for moving averages of random variables with regularly varying tail probabilities

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Inference for Clusters of Extreme Values

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Implicit renewal theory and tails of solutions of random equations

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Adapting extreme value statistics to financial time series: dealing with bias and serial dependence

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A spectral representation for max-stable processes

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Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes

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Extremal index estimation for a weakly dependent stationary sequence

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Spectral representations of sum- and max-stable processes

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Random Measures, Theory and Applications

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Random difference equations and renewal theory for products of random matrices

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Heavy-Tailed Time Series

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Extremes and local dependence in stationary sequences

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Extremes and related properties of random sequences and processes

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Extreme Values in Uniformly Mixing Stationary Stochastic Processes

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Asymptotic Extremes for $m$-Dependent Random Variables

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An efficient semiparametric maxima estimator of the extremal index

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Limit theorems for the maximum term of a stationary process

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Extreme values for stationary and Markov sequences

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Asymptotic Properties of the Maximum in a Stationary Gaussian Process

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Heavy-Tail Phenomena

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Inference for the limiting cluster size distribution of extreme values

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A sliding blocks estimator for the extremal index

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Approximate distributions of clusters of extremes

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Likelihood estimation of the extremal index

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Model misspecification in peaks over threshold analysis

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Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author

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Mathematics(1 entry)

mardi Publication:6174430

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