Extremes and local dependence in stationary sequences
From MaRDI portal
Publication:4743504
DOI10.1007/BF00532484zbMath0506.60030MaRDI QIDQ4743504
Publication date: 1983
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Related Items
Functionals of clusters of extremes, US stock returns: are there seasons of excesses?, Modeling Waves of Extreme Temperature: The Changing Tails of Four Cities, Dynamical counterexamples regarding the extremal index and the mean of the limiting cluster size distribution, TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS, On maxima of stationary fields, Extreme events of Markov chains, Extremes of Homogeneous Gaussian Random Fields, Weak convergence of a pseudo maximum likelihood estimator for the extremal index, Likelihood estimation of the extremal index, A stochastic volatility model with flexible extremal dependence structure, A large deviations approach to limit theory for heavy-tailed time series, Optimal eigen expansions and uniform bounds, Estimating the upcrossings index, Slope influence diagnostics in conditional heteroscedastic time series models, Extreme values for characteristic radii of a Poisson-Voronoi tessellation, Statistics for tail processes of Markov chains, On the measurement and treatment of extremes in time series, Bayesian uncertainty management in temporal dependence of extremes, Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes, Extremal memory of stochastic volatility with an application to tail shape inference, On limiting cluster size distributions for processes of exceedances for stationary sequences, The extremal index, hitting time statistics and periodicity, Time-changed extremal process as a random sup measure, A general study of extremes of stationary tessellations with examples, Estimating the parameters of rare events, Limiting entry and return times distribution for arbitrary null sets, Estimation of Pickands dependence function of bivariate extremes under mixing conditions, The multivariate extremal index and the dependence structure of a multivariate extreme value distribution, Bivariate statistical analysis of TCP-flow sizes and durations, Bayesian comparison of different rainfall depth-duration-frequency relationships, An interview with Ross Leadbetter, Phantom distribution functions for some stationary sequences, Extremal shot noises, heavy tails and max-stable random fields, Extremal dependence measure and extremogram: the regularly varying case, Extremes of weighted Brownian bridges in increasing dimension, Multivariate extreme values in stationary random sequences, On convergence of kernel estimators of density with variable window width by dependent observations, Asymptotically (in)dependent multivariate maxima of moving maxima process, Extremal properties for weakly correlated random variables arising in speckle patterns, Inference for the limiting cluster size distribution of extreme values, Some aspects of extreme value statistics under serial dependence, On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation, On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring, On the exceedance point process for a stationary sequence, Computer experiments for the analysis of extreme-value phenomena, High level exceedances in stationary sequences with extremal index, Limit theorems for strongly mixing stationary random measures, Relative extremal index of two stationary processes, On a loss of memory property of the maximum, The extremal index of a higher-order stationary Markov chain, On blocks and runs estimators of the extremal index, On the bootstrap and the moving block bootstrap for the maximum of a stationary process, On the excursion random measure of stationary processes, Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions, On some estimates based on sample behavior near high level excursions, Computing the extremal index of special Markov chains and queues, The asymptotic locations of the maximum and minimum of stationary sequences, Cluster size distributions of extreme values for the Poisson-Voronoi tessellation, Quenched phantom distribution functions for Markov chains, Inference on the tail process with application to financial time series modeling, Generalized Pickands constants and stationary max-stable processes, Polar decomposition of regularly varying time series in star-shaped metric spaces, Extreme values of the uniform order 1 autoregressive processes and missing observations, Inference for heavy tailed stationary time series based on sliding blocks, Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process., The extremal index of sub-sampled processes, Extremes and clustering of nonstationary max-AR(1) sequences, Stochastic analysis of the fracture of solids with microcracks, Regenerative block-bootstrap confidence intervals for tail and extremal indexes, A sliding blocks estimator for the extremal index, Estimation of extreme values by the average conditional exceedance rate method, Methods for estimating the upcrossings index: improvements and comparison, Regularly varying random fields, Method of moments estimators for the extremal index of a stationary time series, Capturing the multivariate extremal index: bounds and interconnections, Extremes for transient random walks in random sceneries under weak independence conditions, Managing local dependencies in asymptotic theory for maxima of stationary random fields, Estimating high quantiles based on dependent circular data, Modeling extreme events: sample fraction adaptive choice in parameter estimation, The compound Poisson limit ruling periodic extreme behaviour of non-uniformly hyperbolic dynamics, Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities, Extreme value laws in dynamical systems under physical observables, Measures of serial extremal dependence and their estimation, Extremal indices, geometric ergodicity of Markov chains and MCMC, Measuring the extremal dependence, Modeling multivariate extreme events using self-exciting point processes, Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments, Approximate distributions of clusters of extremes, Clustering of upcrossings of high values, The dependence of extreme values of discrete and continuous time strongly dependent Gaussian processes, Rare events, exponential hitting times and extremal indices via spectral perturbation†, Fighting the arch–enemy with mathematics‘, Nonparametric Analysis of Extremes on Web Graphs: PageRank Versus Max-Linear Model, Rare events, temporal dependence, and the extremal index, Adaptive Choice and Resampling Techniques in Extremal Index Estimation, Uniform AR(1) Processes and Maxima on Partial Samples, Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures, A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS, Statistics of extremes in climatology, The extremes of random walks in random sceneries, Extremal behaviour of chaotic dynamics, The upcrossings index and the extremal index, Statistical advances in environmental science, Limit distribution for point processes of high local maxima, Limiting crossing probabilities of random fields
Cites Work
- Unnamed Item
- Unnamed Item
- Extremes and related properties of random sequences and processes
- A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
- Limit theorems for extreme values of chain-dependent processes
- Weak convergence results for extremal processes generated by dependent random variables
- Extremes of moving averages of stable processes
- Limit theorems for the maximum term of a stationary process
- Limiting Distribution of the Maximum Term in Sequences of Dependent Random Variables
- Limit laws for the maximum and minimum of stationary sequences
- The maximum term of uniformly mixing stationary processes
- Extreme Values in Uniformly Mixing Stationary Stochastic Processes
- Asymptotic Extremes for $m$-Dependent Random Variables
- On extreme values in stationary sequences
- Extreme Values in Samples from $m$-Dependent Stationary Stochastic Processes
