Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution-Reference-Cited by-同舟云学术

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Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution

Published:2022-07 Issue: Volume:149 Page:75-106
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bücher Axel^ORCID,Jennessen Tobias^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference31 articles.

1. Regularly varying multivariate time series;Basrak;Stochastic Process. Appl.,2009

2. Statistics of Extremes: Theory and Applications;Beirlant,2004

3. Random Walks with Stationary Increments and Renewal Theory;Berbee,1979

4. Weak convergence of a pseudo maximum likelihood estimator for the extremal index;Berghaus;Ann. Statist.,2018

5. Method of moments estimators for the extremal index of a stationary time series;Bücher;Electron. J. Stat.,2020

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