scientific article; zbMATH DE number 597912
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Publication:4298923
zbMATH Open0796.62084MaRDI QIDQ4298923FDOQ4298923
Authors: Ishay Weissman, Richard L. Smith 
Publication date: 29 June 1994
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- scientific article; zbMATH DE number 488428
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
Inference from stochastic processes (62M99) Extreme value theory; extremal stochastic processes (60G70)
Cited In (69)
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- A modeler's guide to extreme value software
- High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields
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- Tail adversarial stability for regularly varying linear processes and their extensions
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- Extremal behaviour of stationary processes: the calibration technique in the extremal index estimation
- Estimation for heavy tailed moving average process.
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- A flexible extended generalized Pareto distribution for tail estimation
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- Clustering of extreme values: estimation and application
- Statistical performance of local attractor dimension estimators in non-axiom a dynamical systems
- Extremal clustering in non-stationary random sequences
- The extremal index of a higher-order stationary Markov chain
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Estimating the extremal index through local dependence
- On blocks and runs estimators of the extremal index
- Heuristic tools for the estimation of the extremal index: a comparison of methods
- Downscaling extremes: a comparison of extreme value distributions in point-source and gridded precipitation data
- Statistical advances in environmental science
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- Modelling dependence uncertainty in the extremes of Markov chain
- Asymptotics for sliding blocks estimators of rare events
- Estimation of cluster functionals for regularly varying time series: runs estimators
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- Cluster size distributions of extreme values for the Poisson-Voronoi tessellation
- Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
- Method of moments estimators for the extremal index of a stationary time series
- Bayesian inference for clustered extremes
- Multiple thresholds in extremal parameter estimation
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- Accounting for choice of measurement scale in extreme value modeling
- On regenerative estimation of extremal index in queueing systems
- Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
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- Estimation of the extremal index using censored distributions
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- Extreme values statistics for Markov chains via the (pseudo-) regenerative method
- The extremal index for GARCH(1,1) processes
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Functionals of clusters of extremes
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- Measures of serial extremal dependence and their estimation
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- Sparse moving maxima models for tail dependence in multivariate financial time series
- An efficient semiparametric maxima estimator of the extremal index
- Likelihood estimation of the extremal index
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- On some estimates based on sample behavior near high level excursions
- Adaptive choice and resampling techniques in extremal index estimation
- Dynamical counterexamples regarding the extremal index and the mean of the limiting cluster size distribution
- A horse race between the block maxima method and the peak-over-threshold approach
- Bootstrap and other resampling methodologies in statistics of extremes
- A comparison of methods for estimating the extremal index
- Extremes and regular variation
- Bayesian uncertainty management in temporal dependence of extremes
- Editorial: Special issue on time series extremes
- On the measurement and treatment of extremes in time series
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Extremal memory of stochastic volatility with an application to tail shape inference
- Estimating the upcrossings index
- Improved interexceedance-times-based estimator of the extremal index using truncated distribution
- The upcrossings index and the extremal index
- Some aspects of extreme value statistics under serial dependence
- 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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