On blocks and runs estimators of the extremal index

DOI10.1016/S0378-3758(97)00095-5MaRDI QIDQ1298703zbMATH OpenFDO

Authors Ishay Weissman, S. Yu. Novak

Publication date 22 August 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityconsistencymixing conditionstationary sequence

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: estimation (62M09)

Recommendations

• Weak convergence of a pseudo maximum likelihood estimator for the extremal index
• A sliding blocks estimator for the extremal index
• Asymptotics for sliding blocks estimators of rare events
• Estimating the parameters of rare events

Cites work

• scientific article; zbMATH DE number 597912 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Calculating the extremal index for a class of stationary sequences
• Estimating the parameters of rare events
• Extremal index estimation for a weakly dependent stationary sequence
• Extremal theory for stochastic processes
• Extreme values for stationary and Markov sequences
• Extremes and local dependence in stationary sequences
• Extremes and related properties of random sequences and processes
• On the Central Limit Theorem for $\varphi$-Mixing Arrays of Random Variables
• On the asymptotic distribution of the number of random variables exceeding a given level
• On the exceedance point process for a stationary sequence
• The maximum term of uniformly mixing stationary processes

Cited in

(30)

• A new blocks estimator for the extremal index
• Estimating the extremal index through local dependence
• New estimators for the extremal index and other cluster characteristics
• On maxima of stationary delay in the \({M/G/2}\) systems
• A sliding blocks estimator for the extremal index
• Extremal index blocks estimator: the threshold and the block size choice
• Asymptotics for sliding blocks estimators of rare events
• Estimation of cluster functionals for regularly varying time series: runs estimators
• Estimation for heavy tailed moving average process.
• Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities
• On the risk of estimates for block decreasing densities
• Multiple thresholds in extremal parameter estimation
• Threshold selection for extremal index estimation
• Risk forecasting in the context of time series
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• Regularly varying random fields
• Likelihood estimation of the extremal index
• Weak convergence of a pseudo maximum likelihood estimator for the extremal index
• Adaptive choice and resampling techniques in extremal index estimation
• Inference for Clusters of Extreme Values
• Regenerative block-bootstrap confidence intervals for tail and extremal indexes
• A horse race between the block maxima method and the peak-over-threshold approach
• Estimating the parameters of rare events
• Bootstrap and other resampling methodologies in statistics of extremes
• Estimating the upcrossings index
• Some aspects of extreme value statistics under serial dependence
• Clustering of extreme values: estimation and application
• Estimating the multivariate extremal index function
• Inference for the limiting cluster size distribution of extreme values

This page was built for publication: On blocks and runs estimators of the extremal index

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1298703)