Estimation of the extremal index using censored distributions

DOI10.1007/S10687-020-00374-3MaRDI QIDQ83310zbMATH OpenOpenAlexFDO

Authors Jan Holešovský, Michal Fusek, Jan Holešovský, Michal Fusek

Publication date 2 March 2020

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-020-00374-3

zbMATH Keywords

censoringclustersextremal indexextreme value theory

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Censored data models (62N01) Estimation in survival analysis and censored data (62N02) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: estimation (62M09) Applications of statistics to environmental and related topics (62P12)

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Cited in

(12)

• Estimating the extremal index through local dependence
• Estimation of the maximal moment exponent with censored data
• New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
• Method of moments estimators for the extremal index of a stationary time series
• revdbayes
• exdex
• scientific article; zbMATH DE number 2188973 (Why is no real title available?)
• Likelihood estimation of the extremal index
• Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
• Estimating the parameters of rare events
• Improved interexceedance-times-based estimator of the extremal index using truncated distribution
• Clustering of extreme values: estimation and application

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