Functionals of clusters of extremes

DOI10.1239/aap/1067436333zbMath1043.60043MaRDI QIDQ4454111

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

zbMATH Keywords

extremal index; stationary sequence; extreme-value distribution; threshold exceedance; tail sequence; cluster functional

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Related Items

Clustering of Markov chain exceedances, A functional limit theorem for dependent sequences with infinite variance stable limits, Limit theorems for empirical processes of cluster functionals, Some aspects of extreme value statistics under serial dependence, Regularly varying multivariate time series, On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring, Approximate distributions of clusters of extremes

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