The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains

31 March 2013

Papers citing "The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains"

8 / 8 papers shown

Title
Estimation of cluster functionals for regularly varying time series: runs estimators Youssouph Cissokho Rafal Kulik 61 3 0 05 Sep 2021
Cluster based inference for extremes of time series H. Drees Anja Janssen Sebastian Neblung 102 6 0 15 Mar 2021
Estimation of cluster functionals for regularly varying time series: sliding blocks estimators Youssouph Cissokho Rafal Kulik 30 10 0 22 May 2020
Peak-over-Threshold Estimators for Spectral Tail Processes: Random vs Deterministic Thresholds H. Drees Miran Knežević 40 10 0 16 Jan 2019
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains Rafal Kulik P. Soulier Olivier Wintenberger Rafa Kulik 44 21 0 16 Nov 2015
A large deviations approach to limit theory for heavy-tailed time series T. Mikosch Olivier Wintenberger 53 36 0 01 Sep 2015
A Fourier analysis of extreme events T. Mikosch Yuwei Zhao 104 15 0 12 Mar 2014
Measures of serial extremal dependence and their estimation Richard A. Davis T. Mikosch Yuwei Zhao 115 61 0 25 Mar 2013