Extremes of Some Sub-Sampled Time Series

DOI10.1111/1467-9892.T01-1-00320MaRDI QIDQ4455673zbMATHOpenAlexWikidataFDO

Authors

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.t01-1-00320

zbMATH Keywords

extremal indexpoint processextreme valueslinear process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 4109747 (Why is no real title available?)
• Extremal Analysis of Processes Sampled at Different Frequencies

Cited in

(18)

• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• Extremal behaviour of a periodically controlled sequence with imputed values
• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
• On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
• Extremes of Stationary Sequences with Failures
• Extreme values of linear processes with heavy-tailed innovations and missing observations
• Extremes on different grids and continuous time of stationary processes
• A note on the asymptotic distribution of the maxima in disaggregated time-series models.
• On maxima of chi-processes over threshold dependent grids
• Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations
• Clustering of upcrossings of high values
• Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution
• Modeling extreme events: sample fraction adaptive choice in parameter estimation
• scientific article; zbMATH DE number 6739318 (Why is no real title available?)
• Extreme value theory for space-time processes with heavy-tailed distributions
• The extremal index of sub-sampled processes
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations
• On the max-semistable limit of maxima of stationary sequences with missing values

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