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math.ST2008
A Sliding Blocks Estimator for the Extremal Index
Christian Y. Robert, Johan Segers, Christopher A. T. Ferro
In extreme value statistics for stationary sequences, blocks estimators are usually constructed by using disjoint blocks because exceedances over high thresholds of different block…
math.ST2008★ 59 cited
Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution
John H. J. Einmahl, Johan Segers
Consider a random sample from a bivariate distribution function in the max-domain of attraction of an extreme-value distribution function . This is characterized by two…