The extremal index of sub-sampled processes

DOI10.1016/S0378-3758(03)00194-0MaRDI QIDQ1878839zbMATH OpenFDO

Authors Helena Ferreira, Ana Paula Martins

Publication date 9 September 2004

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

Extreme valuesExtremal indexSub-samplingPeriodic sequences

Mathematics Subject Classification ID

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

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• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
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Cites work

• scientific article; zbMATH DE number 4109747 (Why is no real title available?)
• Extremal Analysis of Processes Sampled at Different Frequencies
• Extremes and local dependence in stationary sequences
• Extremes and related properties of random sequences and processes
• Extremes of Some Sub-Sampled Time Series
• Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations
• Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
• On the exceedance point process for a stationary sequence

Cited in

(10)

• Extremal index of a resampled process of autoregression
• On the extremal behavior of sub-sampled solutions of stochastic difference equations
• scientific article; zbMATH DE number 2138429 (Why is no real title available?)
• A Note on the Extremal Index for Space-Time Processes
• Modeling extreme events: sample fraction adaptive choice in parameter estimation
• Optional sampling of submartingales with scanned index sets
• Extremal behaviour of a periodically controlled sequence with imputed values
• On the extremes of randomly sub-sampled time series
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations

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