Estimating the extremal index through local dependence
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Publication:1650108
DOI10.1214/16-AIHP815zbMath1391.60119arXiv1505.02077WikidataQ129912992 ScholiaQ129912992MaRDI QIDQ1650108
Helena Ferreira, Marta Ferreira
Publication date: 29 June 2018
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.02077
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Related Items (6)
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ A new blocks estimator for the extremal index ⋮ Method of moments estimators for the extremal index of a stationary time series ⋮ Estimation of the extremal index using censored distributions ⋮ Improved interexceedance-times-based estimator of the extremal index using truncated distribution ⋮ Asymptotic dependence of bivariate maxima
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