Ordinal patterns in clusters of subsequent extremes of regularly varying time series

DOI10.1007/s10687-020-00391-2zbMath1468.62343arXiv1902.01237MaRDI 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

zbMATH Keywords

cluster; alpha-mixing; ratio estimator; asymptotic results; peaks-over-threshold; empirical estimators; tail process; ordinal pattern; regularly varying time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62P12: Applications of statistics to environmental and related topics

62G32: Statistics of extreme values; tail inference

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Generalized ordinal patterns allowing for ties and their applications in hydrology

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