Threshold selection for extremal index estimation

DOI10.1080/10485252.2023.2266050MaRDI QIDQ6611222zbMATH OpenFDO

Authors Natalia M. Markovich, Igor V. Rodionov

Publication date 26 September 2024

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485252.2023.2266050

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Cites work

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• Inference for Clusters of Extreme Values
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• Statistics of Extremes
• The Distribution of Sums of I.I.D. Pareto Random Variables with Arbitrary Shape Parameter
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• Weak convergence of a pseudo maximum likelihood estimator for the extremal index

Cited in

(2)

• Inferences of modularity for graphs evolved by the clustering attachment model
• Location- and scale-free procedures for distinguishing between distribution tail models

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