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Rare Events, Temporal Dependence and the Extremal Index

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  • Segers, J.J.J.

    (Tilburg University, School of Economics and Management)

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  • Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Other publications TiSEM 04952d0f-2b24-44ad-bf07-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:04952d0f-2b24-44ad-bf07-f4e49e873ac7
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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.
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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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