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A Comparison of Methods for Estimating the Extremal Index · Study

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ArticleA Comparison of Methods for Estimating the Extremal Index

Miguel A. Ancona-Navarrete2000

Article2000

A Comparison of Methods for Estimating the Extremal Index

Miguel A. Ancona-Navarrete · Jonathan A. Tawn

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Probability and Risk Models Statistical Distribution Estimation and Applications Point processes and geometric inequalities

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References

1996Statistics for near independence in multivariate extreme values 1997Modelling Dependence within Joint Tail Regions 1983Extremes and local dependence in stationary sequences 1994Statistical Methods for Multivariate Extremes: An Application to Structural Design 1994Estimating the Extremal Index 1988On the exceedance point process for a stationary sequence 1994Statistical methods for multivariate extremes: an application to structural design.1997Markov chain models for threshold exceedances

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2022Modelling Time Series Extremes 2012Estimating return levels from serially dependent extremes 2009Inference for the limiting cluster size distribution of extreme values 2000Extremal Analysis of Processes Sampled at Different Frequencies 2013Early warning systems for currency crises: A multivariate extreme value approach 2015An efficient semiparametric maxima estimator of the extremal index

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2000Extremal Analysis of Processes Sampled at Different Frequenciesarticle · 9 shared references 2009On the estimation and application of max-stable processesarticle · 8 shared references 1998Models for the extremes of Markov chainsarticle · 7 shared references 2012Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholdsarticle · 7 shared references 2003New Estimators for the Extremal Index and Other Cluster Characteristicsarticle · 7 shared references 2003Diagnostics for Dependence within Time Series Extremesarticle · 6 shared references

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Year2000

Typearticle

Published2000-03-01

VenueExtremes

ISSN-L1386-1999

Languageen

Citations92

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ShelfProbability and Risk Models

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doi10.1023/a:1009993419559

openalex_workW1573806138

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