Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
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Publication:2137752
Abstract: A measure of primal importance for capturing the serial dependence of a stationary time series at extreme levels is provided by the limiting cluster size distribution. New estimators based on a blocks declustering scheme are proposed and analyzed both theoretically and by means of a large-scale simulation study. A sliding blocks version of the estimators is shown to outperform a disjoint blocks version. In contrast to some competitors from the literature, the estimators only depend on one unknown parameter to be chosen by the statistician.
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Cites work
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Cited in
(4)- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
- Cluster based inference for extremes of time series
- Inference for the limiting cluster size distribution of extreme values
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