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Rare Events, Temporal Dependence and the Extremal Index

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  • Segers, J.J.J.

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Discussion Paper 2006-7, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:04952d0f-2b24-44ad-bf07-f4e49e873ac7
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/777097/7.pdf
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    References listed on IDEAS

    as
    1. Christopher A. T. Ferro & Johan Segers, 2003. "Inference for clusters of extreme values," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 545-556, May.
    2. Hsing, Tailen, 1989. "Extreme value theory for multivariate stationary sequences," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 274-291, May.
    3. Novak, S. Y., 2002. "Multilevel clustering of extremes," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 59-75, January.
    4. N/A, 1996. "Events," Psychology and Developing Societies, , vol. 8(2), pages 287-288, September.
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    Cited by:

    1. Angel, Omer & Matzavinos, Anastasios & Roitershtein, Alexander, 2019. "Limit theorem for the Robin Hood game," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 9-15.

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    More about this item

    Keywords

    block maximum; exceedance; extremal index; failure set; mixing condition; M4 process; rare event; stationary sequence;
    All these keywords.

    JEL classification:

    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting

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