Ordinal patterns in clusters of subsequent extremes of regularly varying time series
DOI10.1007/s10687-020-00391-2zbMath1468.62343arXiv1902.01237OpenAlexW3080658476MaRDI QIDQ2027087
Alexander Schnurr, Marco Oesting
Publication date: 21 May 2021
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.01237
clusteralpha-mixingratio estimatorasymptotic resultspeaks-over-thresholdempirical estimatorstail processordinal patternregularly varying time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Entropy determination based on the ordinal structure of a dynamical system
- Extremes on river networks
- Erratum to: ``Modeling clusters of extreme values
- Strong mixing properties of max-infinitely divisible random fields
- An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
- Modeling clusters of extreme values
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- The extremogram: a correlogram for extreme events
- Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments
- Limit theorems for empirical processes of cluster functionals
- Inference for the limiting cluster size distribution of extreme values
- Regularly varying multivariate time series
- Stationary max-stable fields associated to negative definite functions
- Extremes and related properties of random sequences and processes
- Point processes and multivariate extreme values
- A spectral representation for max-stable processes
- Extremal behaviour of stationary Markov chains with applications
- An invariance principle for sums and record times of regularly varying stationary sequences
- The tail process revisited
- Inference on the tail process with application to financial time series modeling
- Clusters of extremes: modeling and examples
- Functional regular variations, Pareto processes and peaks over threshold
- A characterization of multivariate regular variation.
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Semiparametric estimation for isotropic max-stable space-time processes
- Measures of serial extremal dependence and their estimation
- Asymptotic Properties of the Empirical Spatial Extremogram
- Asymptotic Theory of Weakly Dependent Random Processes
- Basic properties and prediction of max-ARMA processes
- TIME SERIES FROM THE ORDINAL VIEWPOINT
- Inference for Clusters of Extreme Values
- Exact simulation of max-stable processes
- Heavy-Tail Phenomena
This page was built for publication: Ordinal patterns in clusters of subsequent extremes of regularly varying time series
