相关论文: Weak convergence of a pseudo maximum likelihood es…

In extreme value statistics for stationary sequences, blocks estimators are usually constructed by using disjoint blocks because exceedances over high thresholds of different blocks can be assumed asymptotically independent. In this paper…

Extremes occur in stationary regularly varying time series as short periods with several large observations, known as extremal blocks. We study cluster statistics summarizing the behavior of functions acting on these extremal blocks.…

A measure of primal importance for capturing the serial dependence of a stationary time series at extreme levels is provided by the limiting cluster size distribution. New estimators based on a blocks declustering scheme are proposed and…

Cluster indices describe extremal behaviour of stationary time series. We consider their sliding blocks estimators. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions that…

The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…

Modeling univariate block maxima by the generalized extreme value distribution constitutes one of the most widely applied approaches in extreme value statistics. It has recently been found that, for an underlying stationary time series,…

We investigate the joint asymptotic behavior of so-called blocks estimator of the extremal index, that determines the mean length of clusters of extremes, based on the exceedances over different thresholds. Due to the large bias of these…

We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus on heavy-tailed time series, in particular on regularly…

It is well known that the distribution of extreme values of strictly stationary sequences differ from those of independent and identically distributed sequences in that extremal clustering may occur. Here we consider non-stationary but…

The extremal index parameter theta characterizes the degree of local dependence in the extremes of a stationary time series and has important applications in a number of areas, such as hydrology, telecommunications, finance and…

The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures…

The stable-regenerative multiple-stable model has been shown recently to have distinct candidate extremal index and extremal index. To understand further this rare phenomenon, two more results are established here for the double-stable…

The block maxima method is a standard approach for analyzing the extremal behavior of a potentially multivariate time series. It has recently been found that the classical approach based on disjoint block maxima may be universally improved…

Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters. The…

The extremal index $\theta$, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate $\theta$ semiparametrically, using the relationship between the…

Cluster indices describe extremal behaviour of stationary time series. We consider runs estimators of cluster indices. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions…

The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are…

We consider disjoint and sliding blocks estimators of cluster indices for multivariate, regularly varying time series in the Peak-over-Threshold framework. We aim to provide a complete description of the limiting behaviour of these…

The asymptotic results that underlie applications of extreme random fields often assume that the variables are located on a regular discrete grid, identified with $\mathbb{Z}^2$, and that they satisfy stationarity and isotropy conditions.…

The extremal index $\theta$, a number in the interval $[0,1]$, is known to be a measure of primal importance for analyzing the extremes of a stationary time series. New rank-based estimators for $\theta$ are proposed which rely on the…