Heuristic tools for the estimation of the extremal index: a comparison of methods

MaRDI QIDQ4568137zbMATH OpenFDO

Authors Marta Ferreira

Publication date 15 June 2018

Full work available at URL https://www.ine.pt/revstat/pdf/REVSTAT_v16-n1-6.pdf

zbMATH Keywords

extremal index estimationextreme value theoryheuristic methods

Mathematics Subject Classification ID

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

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(11)

• Improved interexceedance-times-based estimator of the extremal index using truncated distribution
• Multiple thresholds in extremal parameter estimation
• Extremal index for a class of heavy-tailed stochastic processes in risk theory
• Automatic declustering of rare events
• Extremal index blocks estimator: the threshold and the block size choice
• A comparison of methods for estimating the extremal index
• Extremal properties of evolving networks: local dependence and heavy tails
• Threshold selection for extremal index estimation
• SPECIAL ISSUE LinStat: a new proposal for robust estimation of the extremal index
• On the computation of the extremal index for time series
• Estimation of the extremal index using censored distributions

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