Multilevel clustering of extremes.

DOI10.1016/S0304-4149(01)00123-5MaRDI QIDQ1766039zbMATH OpenFDO

Authors S. Yu. Novak

Publication date 25 February 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(01)00123-5

zbMATH Keywords

complete convergenceextreme valuespoint processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites work

• Approximate distributions of order statistics. With applications to nonparametric statistics
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• scientific article; zbMATH DE number 3866301 (Why is no real title available?)
• scientific article; zbMATH DE number 52632 (Why is no real title available?)
• scientific article; zbMATH DE number 3582944 (Why is no real title available?)
• scientific article; zbMATH DE number 3595945 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• The two-dimensional Poisson process and extremal processes
• Weak convergence results for extremal processes generated by dependent random variables
• Weak convergence to extremal processes

Cited in

(10)

• Inference for the limiting cluster size distribution of extreme values
• Estimating the multivariate extremal index function
• On the number of near-maximum insurance claim under dependence.
• Clusters of extremes: modeling and examples
• Rare events, temporal dependence, and the extremal index
• Clustering of Markov chain exceedances
• Complete convergence and records for dynamically generated stochastic processes
• On exceedances of high levels
• Limit theorems for empirical processes of cluster functionals
• On the asymptotic distribution of certain bivariate reinsurance treaties

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