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math.ST2019
Method of moments estimators for the extremal index of a stationary time series
Axel Bücher, Tobias Jennessen
The extremal index , a number in the interval , is known to be a measure of primal importance for analyzing the extremes of a stationary time series. New rank-based estim…
math.ST2019★ 5 cited
Multiple block sizes and overlapping blocks for multivariate time series extremes
Nan Zou, Stanislav Volgushev, Axel Bücher
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying…