Estimation of the extremal index using censored distributions
DOI10.1007/S10687-020-00374-3zbMATH Open1451.62047OpenAlexW3010046608MaRDI QIDQ83310FDOQ83310
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
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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
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- exdex
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- 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
- Clustering of extreme values: estimation and application
- Improved interexceedance-times-based estimator of the extremal index using truncated distribution
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