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Modeling clusters of extreme values
15 references·0 citing·34 second hop
Modeling clusters of extreme values (2013)Modeling clusters of extreme valuesStable limits for sums of dependent infinite variance random variables (2010)Stable limits for sums of dep…Return interval distribution of extreme events and long-term memory (2008)Return interval distribution …Regularly varying multivariate time series (2008)Regularly varying multivariat…Tails of random sums of a heavy-tailed number of light-tailed terms (2007)Tails of random sums of a hea…Statistics of return intervals in long-term correlated records (2007)Statistics of return interval…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Statistics of Extremes (2004)Statistics of ExtremesInference for Clusters of Extreme Values (2003)Inference for Clusters of Ext…Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Stochastic-process limits : a…Extremal Analysis of Processes Sampled at Different Frequencies (2000)Extremal Analysis of Processe…A Comparison of Methods for Estimating the Extremal Index (2000)A Comparison of Methods for E…Modelling Extremal Events (1997)Modelling Extremal EventsCalculating the extremal index for a class of stationary sequences (1991)Calculating the extremal inde…On Exceedance Point Processes for Stationary Sequences under Mild Oscillation Restrictions (1989)On Exceedance Point Processes…On the exceedance point process for a stationary sequence (1988)On the exceedance point proce…Extreme Values, Regular Variation and Point Processes (1987)Max-Stable Models for Multivariate Extremes (2012)Heavy-Tailed Time Series (2020)Higher-dimensional spatial extremes via single-site conditioning (2022)Fractional Brownian Motions, Fractional Noises and Applications (1968)Long-Term Memory: A Natural Mechanism for the Clustering of Extreme Events and Anomalous Residual Times in Climate Records (2005)Statistical Analysis of Extreme Values (2007)On extreme values in stationary sequences (1974)Extremes and local dependence in stationary sequences (1983)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Fractal and Multifractal Time Series (2011)Communication activity in a social network: relation between long-term correlations and inter-event clustering (2012)Models for Exceedances Over High Thresholds (1990)From value at risk to stress testing: The extreme value approach (2000)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Estimating value-at-risk: a point process approach (2005)Extreme events: dynamics, statistics and prediction (2011)Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)On blocks and runs estimators of the extremal index (1998)Modelling Time Series Extremes (2022)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Maximum-Likelihood Estimation (2017)Dynamic Routing in Large-Scale Service Systems with Heterogeneous Servers (2005)Queue-and-Idleness-Ratio Controls in Many-Server Service Systems (2009)Control of Patient Flow in Emergency Departments, or Multiclass Queues with Deadlines and Feedback (2015)Power Laws in Economics and Finance (2009)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Statistical Modeling of Spatial Extremes (2012)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 2004Statistics of Extremes1,787 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues468 cited
  • 2003Inference for Clusters of Extreme Values455 cited
  • 1988On the exceedance point process for a stationary sequence240 cited
  • 2008Regularly varying multivariate time series200 cited
  • 2007Statistics of return intervals in long-term correlated records144 cited
  • 1991Calculating the extremal index for a class of stationary sequences128 cited
  • 2008Return interval distribution of extreme events and long-term memory113 cited
  • 1989On Exceedance Point Processes for Stationary Sequences under Mild Oscillation Restrictions97 cited
  • 2000A Comparison of Methods for Estimating the Extremal Index92 cited
  • 2010Stable limits for sums of dependent infinite variance random variables63 cited
  • 2007Tails of random sums of a heavy-tailed number of light-tailed terms63 cited
  • 2000Extremal Analysis of Processes Sampled at Different Frequencies55 cited

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