16 citations · 34 across the 4 of their papers we have counts for
4 papers
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Ewa Damek, Thomas Mikosch, Yuwei Zhao +1
We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular v…
The integrated periodogram of a dependent extremal event sequence
Thomas Mikosch, Yuwei Zhao
We investigate the asymptotic properties of the integrated periodogram calculated from a sequence of indicator functions of dependent extremal events. An event in Euclidean space i…
A Fourier analysis of extreme events
Thomas Mikosch, Yuwei Zhao
The extremogram is an asymptotic correlogram for extreme events constructed from a regularly varying stationary sequence. In this paper, we define a frequency domain analog of the…
Measures of serial extremal dependence and their estimation
Richard A. Davis, Thomas Mikosch, Yuwei Zhao
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We…