Semi parametric estimation of extremal index for ARMAX process with infinite variance

MaRDI QIDQ5279733zbMATH OpenFDO

Authors Hakim Ouadjed, Mami Tawfiq Fawzi

Publication date 19 July 2017

Full work available at URL http://www.emis.de/journals/MV/162/6.html

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zbMATH Keywords

extreme value theorymax autoregressive processestail index estimation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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(6)

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• Extremal index of a resampled process of autoregression
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