On blocks and runs estimators of the extremal index

DOI10.1016/S0378-3758(97)00095-5zbMATH Open0953.62089MaRDI QIDQ1298703FDOQ1298703

Authors: Ishay Weissman, S. Yu. Novak 

Publication date: 22 August 1999

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

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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)

Cites Work

• Extremes and related properties of random sequences and processes
• On the exceedance point process for a stationary sequence
• Calculating the extremal index for a class of stationary sequences
• Title not available (Why is that?)
• Estimating the parameters of rare events
• Extreme values for stationary and Markov sequences
• Extremal theory for stochastic processes
• Extremal index estimation for a weakly dependent stationary sequence
• Extremes and local dependence in stationary sequences
• Title not available (Why is that?)
• On the Central Limit Theorem for $\varphi$-Mixing Arrays of Random Variables
• The maximum term of uniformly mixing stationary processes
• On the asymptotic distribution of the number of random variables exceeding a given level

Cited In (30)

• 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
• Extremal index blocks estimator: the threshold and the block size choice
• A sliding blocks estimator for the extremal index
• 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
• Threshold selection for extremal index estimation
• Multiple thresholds in extremal parameter 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
• Inference for Clusters of Extreme Values
• Adaptive choice and resampling techniques in extremal index estimation
• Regenerative block-bootstrap confidence intervals for tail and extremal indexes
• A horse race between the block maxima method and the peak-over-threshold approach
• Bootstrap and other resampling methodologies in statistics of extremes
• Estimating the parameters of rare events
• Clustering of extreme values: estimation and application
• Estimating the upcrossings index
• Some aspects of extreme value statistics under serial dependence
• Estimating the multivariate extremal index function
• Inference for the limiting cluster size distribution of extreme values
• A new blocks estimator for the extremal index

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