2 citations · 2 across the 5 of their papers we have counts for
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On the asymptotics of extremal lp-blocks cluster inference
Gloria Buriticá, Olivier Wintenberger
Extremes occur in stationary regularly varying time series as short periods with several large observations, known as extremal blocks. We study cluster statistics summarizing the b…
Some variations on the extremal index
Gloria Buriticá, Meyer Nicolas, Thomas Mikosch +1
We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus…
Large deviations of lp-blocks of regularly varying time series and applications to cluster inference
Gloria Buriticá, Thomas Mikosch, Olivier Wintenberger
In the regularly varying time series setting, a cluster of exceedances is a short period for which the supremum norm exceeds a high threshold. We propose to study a generalization…