Modeling clusters of extreme values

DOI10.1007/S10687-013-0176-3zbMATH Open1302.62115OpenAlexW2000275146MaRDI QIDQ483518FDOQ483518

Authors: Natalia M. Markovich 

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0176-3

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zbMATH Keywords

clusterextremal indexexceedancecluster durationextremes of time seriesreturn interval

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Cites Work

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Cited In (18)

• Approximate distributions of clusters of extremes
• On extremal indices greater than one for a scheme of series
• Erratum to: ``Modeling clusters of extreme values
• Statistical inference for inter-arrival times of extreme events in bursty time series
• New estimators for the extremal index and other cluster characteristics
• Mixed causal-noncausal AR processes and the modelling of explosive bubbles
• Distributions of clusters of exceedances and their applications in telecommunication networks
• Title not available (Why is that?)
• Extreme values in ON/OFF models of teletraffic under permanent and periodic measurements
• Invariance properties of limiting point processes and applications to clusters of extremes
• Maxima and sums of non-stationary random length sequences
• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• Inference for Clusters of Extreme Values
• Modelling the clustering of extreme events for short-term risk assessment
• On Extremal Index of max-stable stationary processes
• Extremal index for a class of heavy-tailed stochastic processes in risk theory
• On the measurement and treatment of extremes in time series
• Clusters of extremes: modeling and examples

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