Multiple thresholds in extremal parameter estimation

DOI10.1007/S10687-018-0337-5MaRDI QIDQ2311600zbMATH OpenOpenAlexWikidataFDO

Authors Julian Sun, Gennady Samorodnitsky

Publication date 4 July 2019

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-018-0337-5

zbMATH Keywords

biasextremal indexregular variationthreshold selectionextremal inference

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 597912 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• Inference for Clusters of Extreme Values
• Inference for the limiting cluster size distribution of extreme values
• New estimators for the extremal index and other cluster characteristics
• On blocks and runs estimators of the extremal index
• On the exceedance point process for a stationary sequence
• Selecting the optimal sample fraction in univariate extreme value estimation
• Smoothing the Hill Estimator
• Statistics of Extremes
• Tail inference: where does the tail begin?
• Weak convergence of a pseudo maximum likelihood estimator for the extremal index

Cited in

(6)

• Reiss and Thomas' automatic selection of the number of extremes
• Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
• Optimal third root asymptotic bounds in the statistical estimation of thresholds
• Threshold selection and trimming in extremes
• Quantification of estimation instability and its application to threshold selection in extremes
• Threshold selection for extremal index estimation

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