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1
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Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution. Stoch Process Their Appl 2022. [DOI: 10.1016/j.spa.2022.03.004] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
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Cissokho Y, Kulik R. Estimation of cluster functionals for regularly varying time series: Runs estimators. Electron J Stat 2022. [DOI: 10.1214/22-ejs2026] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Youssouph Cissokho
- Department of Mathematics and Statistics, University of Ottawa, 150 Louis Pasteur Private, Ottawa ON K1N 6N5
| | - Rafal Kulik
- Department of Mathematics and Statistics, University of Ottawa, 150 Louis Pasteur Private, Ottawa ON K1N 6N5
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3
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Bücher A, Zhou C. A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach. Stat Sci 2021. [DOI: 10.1214/20-sts795] [Citation(s) in RCA: 4] [Impact Index Per Article: 1.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Axel Bücher
- Axel Bücher is Professor of Mathematical Statistics, Heinrich-Heine-Universität Düsseldorf, Mathematisches Institut, Universitätsstr. 1, 40225 Düsseldorf, Germany
| | - Chen Zhou
- Chen Zhou is Professor of Mathematical Statistics and Risk Management, Econometric Institute, Erasmus University Rotterdam, 3000 DR Rotterdam, The Netherlands
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Affiliation(s)
- Holger Drees
- Department of Mathematics, SPST, University of Hamburg, Bundesstr. 55, 20146 Hamburg, Germany
| | - Sebastian Neblung
- Department of Mathematics, SPST, University of Hamburg, Bundesstr. 55, 20146 Hamburg, Germany
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Zou N, Volgushev S, Bücher A. Multiple block sizes and overlapping blocks for multivariate time series extremes. Ann Stat 2021. [DOI: 10.1214/20-aos1957] [Citation(s) in RCA: 4] [Impact Index Per Article: 1.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Cissokho Y, Kulik R. Estimation of cluster functionals for regularly varying time series: sliding blocks estimators. Electron J Stat 2021. [DOI: 10.1214/21-ejs1843] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Youssouph Cissokho
- Department of Mathematics and Statistics, University of Ottawa, 150 Louis Pasteur Private, Ottawa ON K1N 6N5
| | - Rafal Kulik
- Department of Mathematics and Statistics, University of Ottawa, 150 Louis Pasteur Private, Ottawa ON K1N 6N5
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Gomes DP, Neves MM. Extremal index blocks estimator: the threshold and the block size choice. J Appl Stat 2020; 47:2846-2861. [DOI: 10.1080/02664763.2020.1720626] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/25/2022]
Affiliation(s)
- D. Prata Gomes
- Faculdade de Ciências e Tecnologia and CMA, Universidade Nova de Lisboa, Lisboa, Portugal
| | - M. Manuela Neves
- Instituto Superior de Agronomia, and CEAUL, Universidade de Lisboa, Lisboa, Portugal
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8
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Bücher A, Jennessen T. Method of moments estimators for the extremal index of a stationary time series. Electron J Stat 2020. [DOI: 10.1214/20-ejs1734] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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9
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Berghaus B, Bücher A. Weak convergence of a pseudo maximum likelihood estimator for the extremal index. Ann Stat 2018. [DOI: 10.1214/17-aos1621] [Citation(s) in RCA: 14] [Impact Index Per Article: 2.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Ferreira H, Ferreira M. Estimating the extremal index through local dependence. ANNALES DE L'INSTITUT HENRI POINCARÉ, PROBABILITÉS ET STATISTIQUES 2018. [DOI: 10.1214/16-aihp815] [Citation(s) in RCA: 6] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Bücher A, Segers J. Inference for heavy tailed stationary time series based on sliding blocks. Electron J Stat 2018. [DOI: 10.1214/18-ejs1415] [Citation(s) in RCA: 6] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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12
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Martins AP, Sebastião JR. Methods for estimating the upcrossings index: improvements and comparison. Stat Pap (Berl) 2017. [DOI: 10.1007/s00362-017-0876-x] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/24/2022]
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Tang R, Shao J, Zhang Z. Sparse moving maxima models for tail dependence in multivariate financial time series. J Stat Plan Inference 2013. [DOI: 10.1016/j.jspi.2012.11.008] [Citation(s) in RCA: 9] [Impact Index Per Article: 0.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
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Bertail P, Clémençon S, Tressou J. Regenerative block-bootstrap confidence intervals for tail and extremal indexes. Electron J Stat 2013. [DOI: 10.1214/13-ejs807] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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