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Bias correction for estimators of the extremal index
absolute regularity clustering of extremes extremal index
2011/7/19
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 thres...
THE EXTREMAL INDEX OF SUB-SAMPLED PERIODIC SEQUENCES WITH STRONG LOCAL DEPENDENCE
sub-sampling periodic sequences extremal index extreme values
2009/2/26
Let X = fXngn¸1 be a T-periodic sequence. We de¯ne a family of local dependence
conditions D(k) T (u), k ¸ 1, and calculate the extremal index µX from the distributions
of k c...
A NEW DEPENDENCE CONDITION FOR TIME SERIES AND THE EXTREMAL INDEX OF HIGHER-ORDER MARKOV CHAINS
extremal coefficient dependence extremes extremal index higher-order stationary Markov sequences
2009/2/25
We present a new dependence condition for time series and extend the extremal types
theorem.The dependence structure of a stationary sequence is described by a sequence of
extremal functions. Under ...