13 citations · 18 across the 3 of their papers we have counts for
3 papers
math.ST2022★ 1 cited
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…
math.ST2015★ 13 cited
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…
math.ST2013★ 4 cited
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…