Threshold selection for extremal index estimation

The emergence of heat and humidity too severe for human tolerance

(2020) Colin Raymond et al.   Science Advances

Estimating the extremal index through local dependence

(2018) Helena Ferreira et al.   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

Weak convergence of a pseudo maximum likelihood estimator for the extremal index

(2018) Betina Berghaus et al.   ANNALS OF STATISTICS

Multiple thresholds in extremal parameter estimation

(2018) Julian Sun et al.   Extremes

An efficient semiparametric maxima estimator of the extremal index

(2015) Paul J. Northrop   Extremes

Automatic threshold and run parameter selection: a climatology for extreme hourly precipitation in Switzerland

(2014) S. Fukutome et al.   THEORETICAL AND APPLIED CLIMATOLOGY

The extremal index for GARCH(1, 1) processes

(2012) Fabrizio Laurini et al.   Extremes

Model misspecification in peaks over threshold analysis

(2010) Mária Süveges et al.   Annals of Applied Statistics

Inference for the limiting cluster size distribution of extreme values

(2009) Christian Y. Robert   ANNALS OF STATISTICS

Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities

(2009) C.Y. Robert   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

A sliding blocks estimator for the extremal index

(2009) Christian Y. Robert et al.   Electronic Journal of Statistics

The Distribution of Sums of I.I.D. Pareto Random Variables with Arbitrary Shape Parameter

(2008) Colin M. Ramsay   COMMUNICATIONS IN STATISTICS-THEORY AND METHODS