348 citations · 1.2k across the 81 of their papers we have counts for
3 papers · 2 filters
Threshold estimation based on a P-value framework
Bodhisattva Sen, Moulinath Banerjee, George Michialidis
We use p-values as a discrepancy criterion for identifying the threshold value at which a regression function takes off from its baseline value -- a problem that is motivated by ap…
On the estimation of the extremal index based on scaling and resampling
Kamal Hamidieh, Stilian A. Stoev, George Michailidis
The extremal index parameter theta characterizes the degree of local dependence in the extremes of a stationary time series and has important applications in a number of areas, suc…
On the Estimation of the Heavy-Tail Exponent in Time Series using the Max-Spectrum
Stilian A Stoev, George Michailidis
This paper addresses the problem of estimating the tail index of distributions with heavy, Pareto-type tails for dependent data, that is of interest in the areas of finance, insura…