Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
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Publication:2137752
DOI10.1016/J.SPA.2022.03.004zbMATH Open1493.62260arXiv2011.04733OpenAlexW3103429136MaRDI QIDQ2137752FDOQ2137752
Authors: Axel Bücher, Tobias Jennessen 
Publication date: 16 May 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2011.04733
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Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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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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