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math.ST2026
Calibrated Probability Forecast Sequences and Measure-Valued Martingales
Thomas Wilkinson, Christopher Ferro
We consider the calibration of probability forecasts. Several notions of calibration exist when the forecaster issues a single forecast for each of the observations that is to be p…
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…