Likelihood estimation of the extremal index

DOI10.1007/S10687-007-0034-2zbMath1150.62368OpenAlexW2085624200MaRDI QIDQ111096

Mária Süveges, Mária Süveges

Publication date: 8 June 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: http://infoscience.epfl.ch/record/269688

zbMATH Keywords

threshold exceedanceslocal extremal indexnonstationary data

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)

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Cites Work

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• Extremes and related properties of random sequences and processes
• On blocks and runs estimators of the extremal index
• Extremal index estimation for a weakly dependent stationary sequence
• New estimators for the extremal index and other cluster characteristics
• Calculating the extremal index for a class of stationary sequences
• The extremal index for a Markov chain
• On the multivariate extremal index
• Inference for Clusters of Extreme Values
• Extremes and local dependence in stationary sequences

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