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A Comparison of Methods for Estimating the Extremal Index
14 references·8 citing·31 second hop
A Comparison of Methods for Estimating the Extremal Index (2000)A Comparison of Methods for Estimating th…Diagnostics for Dependence within Time Series Extremes (2003)Diagnostics for Dependence wi…Modelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Markov chain models for threshold exceedances (1997)Markov chain models for thres…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Modelling Extremes of the Areal Rainfall Process (1996)Modelling Extremes of the Are…Statistical methods for multivariate extremes: an application to structural design. (1994)Statistical methods for multi…Statistical Methods for Multivariate Extremes: An Application to Structural Design (1994)Statistical Methods for Multi…Estimating the Extremal Index (1994)Estimating the Extremal IndexExtremal Index Estimation for a Weakly Dependent Stationary Sequence (1993)Extremal Index Estimation for…The extremal index for a Markov chain (1992)The extremal index for a Mark…Calculating the extremal index for a class of stationary sequences (1991)Calculating the extremal inde…Basic properties and prediction of max-ARMA processes (1989)Basic properties and predicti…On the exceedance point process for a stationary sequence (1988)On the exceedance point proce…Extremes and local dependence in stationary sequences (1983)Extremes and local dependence…Modelling Time Series Extremes (2022)Modelling Time Series ExtremesAsymmetry in tail dependence in equity portfolios (2015)Asymmetry in tail dependence …An efficient semiparametric maxima estimator of the extremal index (2015)An efficient semiparametric m…Early warning systems for currency crises: A multivariate extreme value approach (2013)Early warning systems for cur…Estimating return levels from serially dependent extremes (2012)Estimating return levels from…Inference for the limiting cluster size distribution of extreme values (2009)Inference for the limiting cl…An analysis of performance measures using copulae (2002)An analysis of performance me…Extremal Analysis of Processes Sampled at Different Frequencies (2000)Extremal Analysis of Processe…Extreme Values, Regular Variation and Point Processes (1987)Bivariate Extreme Value Theory: Models and Estimation (1988)The Asymptotic Theory of Extreme Order Statistics (1990)Sea and Wind: Multivariate Extremes at Work (1998)Spatial modeling of extreme snow depth (2011)A review of quantification methodologies for multi-hazard interrelationships (2019)On extreme values in stationary sequences (1974)On a basis for ‘Peaks over Threshold’ modeling (1991)Regularly varying multivariate time series (2008)Models for Exceedances Over High Thresholds (1990)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Statistical Modeling of Spatial Extremes (2012)Applied Probability and Queues (1987)Multivariate generalized Pareto distributions (2006)Extreme events: dynamics, statistics and prediction (2011)Statistics of Extremes (2015)Modelling Extremal Events (1997)The Extremal Dependence Measure and Asymptotic Independence (2004)Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds (2012)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Likelihood estimation of the extremal index (2007)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Statistics for Spatial Data (1993)Hierarchical modeling for extreme values observed over space and time (2008)On spatial extremes: With application to a rainfall problem (2008)On spatial extremes: With application to a rainfall problem (2015)Threshold Methods for Sample Extremes (1984)Extremal Theory for Stochastic Processes (1988)Evidence for sharp increase in the economic damages of extreme natural disasters (2019)Non‐parametric Estimation of Tail Dependence (2005)
this work references cited by second hop

References

  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1997Modelling Dependence within Joint Tail Regions424 cited
  • 1983Extremes and local dependence in stationary sequences406 cited
  • 1994Statistical Methods for Multivariate Extremes: An Application to Structural Design278 cited
  • 1994Estimating the Extremal Index269 cited
  • 1988On the exceedance point process for a stationary sequence240 cited
  • 1994Statistical methods for multivariate extremes: an application to structural design.224 cited
  • 1997Markov chain models for threshold exceedances200 cited
  • 1996Modelling Extremes of the Areal Rainfall Process181 cited
  • 2003Diagnostics for Dependence within Time Series Extremes140 cited
  • 1991Calculating the extremal index for a class of stationary sequences128 cited
  • 1989Basic properties and prediction of max-ARMA processes126 cited
  • 1992The extremal index for a Markov chain115 cited
  • 1993Extremal Index Estimation for a Weakly Dependent Stationary Sequence103 cited

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  • 2022Modelling Time Series Extremes83 cited

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2012
Estimating return levels from serially dependent extremes
75 cited
  • 2009Inference for the limiting cluster size distribution of extreme values58 cited
  • 2013Early warning systems for currency crises: A multivariate extreme value approach55 cited
  • 2000Extremal Analysis of Processes Sampled at Different Frequencies55 cited
  • 2015An efficient semiparametric maxima estimator of the extremal index43 cited
  • 2015Asymmetry in tail dependence in equity portfolios41 cited
  • 2002An analysis of performance measures using copulae40 cited