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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…