Functionals of clusters of extremes

DOI10.1239/AAP/1067436333zbMATH Open1043.60043OpenAlexW1968909176MaRDI QIDQ4454111FDOQ4454111

Authors: Johan Segers 

Publication date: 7 March 2004

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/948d700b-a923-4068-b4ad-3df2968bd139

Recommendations

• Approximate distributions of clusters of extremes
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• The distributions of cluster functionals of extreme events in a dth-order Markov chain
• On the exceedance point process for a stationary sequence
• Limit theorems for empirical processes of cluster functionals

zbMATH Keywords

extremal indexstationary sequenceextreme-value distributionthreshold exceedancetail sequencecluster functional

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

• A spectral representation for max-stable processes
• Statistical inference using extreme order statistics
• The extremal index for a Markov chain
• Title not available (Why is that?)
• Extreme values for stationary and Markov sequences
• Extremal behaviour of stationary Markov chains with applications
• Markov chain models for threshold exceedances
• Extremes and local dependence in stationary sequences
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• Diagnostics for Dependence within Time Series Extremes
• Models for the extremes of Markov chains
• The distributions of cluster functionals of extreme events in a dth-order Markov chain
• The extremal index of a higher-order stationary Markov chain
• Stationary min-stable stochastic processes
• On a basis for peaks over threshold modeling
• Domains of attraction of multivariate extreme value distributions
• On the distribution of tail array sums for strongly mixing stationary sequences

Cited In (15)

• Approximate distributions of clusters of extremes
• A functional limit theorem for dependent sequences with infinite variance stable limits
• Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation
• Regularly varying multivariate time series
• Asymptotics for sliding blocks estimators of rare events
• Extremes of stationary random fields on a lattice
• Statistics for heteroscedastic time series extremes
• The extremal index for GARCH(1,1) processes
• On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring
• Clustering of Markov chain exceedances
• Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals
• Bayesian uncertainty management in temporal dependence of extremes
• Some aspects of extreme value statistics under serial dependence
• Limit theorems for empirical processes of cluster functionals
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes

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