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math.PR2021
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…
math.PR2021
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…