3 citations · 4 across the 6 of their papers we have counts for
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math.ST2017
Modification of Moment-Based Tail Index Estimator: Sums versus Maxima
Natalia Markovich, Marijus Vaičiulis
In this paper we continue the investigation of the SRCEN estimator of the extreme value index (or the tail index ) proposed in \cite{MCE} for . We propose a new e…
math.ST2017
Clustering and Hitting Times of Threshold Exceedances and Applications
Natalia Markovich
We investigate exceedances of the process over a sufficiently high threshold. The exceedances determine the risk of hazardous events like climate catastrophes, huge insurance claim…