scientific article; zbMATH DE number 597912

MaRDI QIDQ4298923zbMATH OpenFDO

Authors Ishay Weissman, Richard L. Smith

Publication date 29 June 1994

zbMATH Keywords

extremal indexsimulationsbias-variance trade-offstationary processoptimality criterionmean cluster sizedoubly stochastic processwave heightsreal data exampleclustered Poisson processdegree of clustering of extremeslimiting distribution of extreme valuespoint process of exceedance times

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Extreme value theory; extremal stochastic processes (60G70)

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• scientific article; zbMATH DE number 488428

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• Improved interexceedance-times-based estimator of the extremal index using truncated distribution
• Clustering of extreme values: estimation and application
• Statistical performance of local attractor dimension estimators in non-axiom a dynamical systems
• Estimating the multivariate extremal index function
• Inference for the limiting cluster size distribution of extreme values
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes

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