Approximate distributions of clusters of extremes
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Publication:2573256
DOI10.1016/j.spl.2005.04.054zbMath1095.62063OpenAlexW1966167235MaRDI QIDQ2573256
Publication date: 7 November 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://pure.uvt.nl/portal/en/publications/approximate-distributions-of-clusters-of-extremes(443e619d-453d-4a3c-b2f3-52d4e605d074).html
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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Cites Work
- Estimating the parameters of rare events
- Extreme values for stationary and Markov sequences
- The extremal index of a higher-order stationary Markov chain
- Extremal index estimation for a weakly dependent stationary sequence
- Extremal behaviour of stationary Markov chains with applications
- The extremal index for a Markov chain
- Markov chain models for threshold exceedances
- The maximum term of uniformly mixing stationary processes
- Functionals of clusters of extremes
- The distributions of cluster functionals of extreme events in a dth-order Markov chain
- Extremes and local dependence in stationary sequences
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