Ferreira, Marta Clustering of extreme values: estimation and application. (English) Zbl 07859440 AStA, Adv. Stat. Anal. 108, No. 1, 101-125 (2024). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Ferreira}, AStA, Adv. Stat. Anal. 108, No. 1, 101--125 (2024; Zbl 07859440) Full Text: DOI OA License
Asenova, Stefka; Segers, Johan Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments. (English) Zbl 07855954 Adv. Appl. Probab. 56, No. 2, 621-665 (2024). MSC: 05C20 60G70 62H22 05C90 PDFBibTeX XMLCite \textit{S. Asenova} and \textit{J. Segers}, Adv. Appl. Probab. 56, No. 2, 621--665 (2024; Zbl 07855954) Full Text: DOI arXiv
Ferreira, Helena; Ferreira, Marta A new blocks estimator for the extremal index. (English) Zbl 07753665 Commun. Stat., Theory Methods 52, No. 21, 7660-7668 (2023). MSC: 60G70 62G32 PDFBibTeX XMLCite \textit{H. Ferreira} and \textit{M. Ferreira}, Commun. Stat., Theory Methods 52, No. 21, 7660--7668 (2023; Zbl 07753665) Full Text: DOI arXiv
Asenova, Stefka; Segers, Johan Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions. (English) Zbl 07730783 Extremes 26, No. 3, 433-468 (2023). MSC: 62Exx PDFBibTeX XMLCite \textit{S. Asenova} and \textit{J. Segers}, Extremes 26, No. 3, 433--468 (2023; Zbl 07730783) Full Text: DOI arXiv
Peshkova, Irina; Morozov, Evsey; Maltseva, Maria On regenerative estimation of extremal index in queueing systems. (English) Zbl 1498.60371 Vishnevskiy, Vladimir M. (ed.) et al., Distributed computer and communication networks: control, computation, communications. 24th international conference, DCCN 2021, Moscow, Russia, September 20–24, 2021. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 13144, 251-264 (2021). MSC: 60K25 PDFBibTeX XMLCite \textit{I. Peshkova} et al., Lect. Notes Comput. Sci. 13144, 251--264 (2021; Zbl 1498.60371) Full Text: DOI
Auld, Graeme; Papastathopoulos, Ioannis Extremal clustering in non-stationary random sequences. (English) Zbl 1498.60184 Extremes 24, No. 4, 725-752 (2021). Reviewer: Eugen Paltanea (Braşov) MSC: 60G70 PDFBibTeX XMLCite \textit{G. Auld} and \textit{I. Papastathopoulos}, Extremes 24, No. 4, 725--752 (2021; Zbl 1498.60184) Full Text: DOI arXiv OA License
Asenova, Stefka; Mazo, Gildas; Segers, Johan Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables. (English) Zbl 1475.62161 Extremes 24, No. 3, 461-500 (2021). MSC: 62G32 62H22 60G70 05C05 62P12 PDFBibTeX XMLCite \textit{S. Asenova} et al., Extremes 24, No. 3, 461--500 (2021; Zbl 1475.62161) Full Text: DOI arXiv
Gomes, D. Prata; Neves, M. Manuela Extremal index blocks estimator: the threshold and the block size choice. (English) Zbl 1521.62335 J. Appl. Stat. 47, No. 13-15, 2846-2861 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{D. P. Gomes} and \textit{M. M. Neves}, J. Appl. Stat. 47, No. 13--15, 2846--2861 (2020; Zbl 1521.62335) Full Text: DOI Link
Segers, Johan One- versus multi-component regular variation and extremes of Markov trees. (English) Zbl 1473.60086 Adv. Appl. Probab. 52, No. 3, 855-878 (2020). MSC: 60G70 62G32 62H12 PDFBibTeX XMLCite \textit{J. Segers}, Adv. Appl. Probab. 52, No. 3, 855--878 (2020; Zbl 1473.60086) Full Text: DOI arXiv
Chen, Jian-Bing; Lyu, Meng-Ze A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems. (English) Zbl 1440.65011 J. Comput. Phys. 415, Article ID 109525, 22 p. (2020). MSC: 65C20 60G70 60J60 PDFBibTeX XMLCite \textit{J.-B. Chen} and \textit{M.-Z. Lyu}, J. Comput. Phys. 415, Article ID 109525, 22 p. (2020; Zbl 1440.65011) Full Text: DOI
Holešovský, Jan; Fusek, Michal Estimation of the extremal index using censored distributions. (English) Zbl 1451.62047 Extremes 23, No. 2, 197-213 (2020). Reviewer: Nelson I. Tanaka (São Paulo) MSC: 62G32 62M09 62H30 62N01 62N02 62P12 60G70 62M10 62B10 PDFBibTeX XMLCite \textit{J. Holešovský} and \textit{M. Fusek}, Extremes 23, No. 2, 197--213 (2020; Zbl 1451.62047) Full Text: DOI
Kulik, Rafał; Soulier, Philippe; Wintenberger, Olivier The tail empirical process of regularly varying functions of geometrically ergodic Markov chains. (English) Zbl 1448.60114 Stochastic Processes Appl. 129, No. 11, 4209-4238 (2019). MSC: 60G70 62G32 60F05 60G10 62M10 PDFBibTeX XMLCite \textit{R. Kulik} et al., Stochastic Processes Appl. 129, No. 11, 4209--4238 (2019; Zbl 1448.60114) Full Text: DOI arXiv
Papastathopoulos, I.; Strokorb, K.; Tawn, J. A.; Butler, A. Extreme events of Markov chains. (English) Zbl 1425.60051 Adv. Appl. Probab. 49, No. 1, 134-161 (2017). MSC: 60G70 60J05 60G10 PDFBibTeX XMLCite \textit{I. Papastathopoulos} et al., Adv. Appl. Probab. 49, No. 1, 134--161 (2017; Zbl 1425.60051) Full Text: DOI arXiv Link
Winter, Hugo C.; Tawn, Jonathan A. \(k\)th-order Markov extremal models for assessing heatwave risks. (English) Zbl 1373.60092 Extremes 20, No. 2, 393-415 (2017). MSC: 60G70 62G32 62P12 PDFBibTeX XMLCite \textit{H. C. Winter} and \textit{J. A. Tawn}, Extremes 20, No. 2, 393--415 (2017; Zbl 1373.60092) Full Text: DOI
Northrop, Paul J. An efficient semiparametric maxima estimator of the extremal index. (English) Zbl 1327.62325 Extremes 18, No. 4, 585-603 (2015). MSC: 62G32 62F03 62F05 62P12 62P35 PDFBibTeX XMLCite \textit{P. J. Northrop}, Extremes 18, No. 4, 585--603 (2015; Zbl 1327.62325) Full Text: DOI arXiv
Drees, Holger; Segers, Johan; Warchoł, Michał Statistics for tail processes of Markov chains. (English) Zbl 1327.62322 Extremes 18, No. 3, 369-402 (2015). MSC: 62G32 62G20 62M10 PDFBibTeX XMLCite \textit{H. Drees} et al., Extremes 18, No. 3, 369--402 (2015; Zbl 1327.62322) Full Text: DOI arXiv
Ehlert, Andree; Fiebig, Ulf-Rainer; Janßen, Anja; Schlather, Martin Joint extremal behavior of hidden and observable time series with applications to GARCH processes. (English) Zbl 1318.60057 Extremes 18, No. 1, 109-140 (2015). Reviewer: Wiesław Dziubdziela (Miedziana Gora) MSC: 60G70 60J05 60J22 62M10 65C05 91G80 91G60 PDFBibTeX XMLCite \textit{A. Ehlert} et al., Extremes 18, No. 1, 109--140 (2015; Zbl 1318.60057) Full Text: DOI arXiv
Janssen, A.; Segers, J. Markov tail chains. (English) Zbl 1308.60067 J. Appl. Probab. 51, No. 4, 1133-1153 (2014). MSC: 60G70 60J05 60G10 60H25 62P05 PDFBibTeX XMLCite \textit{A. Janssen} and \textit{J. Segers}, J. Appl. Probab. 51, No. 4, 1133--1153 (2014; Zbl 1308.60067) Full Text: arXiv Euclid
Bortot, Paola; Gaetan, Carlo A latent process model for temporal extremes. (English) Zbl 1309.62090 Scand. J. Stat. 41, No. 3, 606-621 (2014). MSC: 62G32 62M10 86A32 PDFBibTeX XMLCite \textit{P. Bortot} and \textit{C. Gaetan}, Scand. J. Stat. 41, No. 3, 606--621 (2014; Zbl 1309.62090) Full Text: DOI
Dombry, Clément; Eyi-Minko, Frédéric Stationary max-stable processes with the Markov property. (English) Zbl 1312.60067 Stochastic Processes Appl. 124, No. 6, 2266-2279 (2014). MSC: 60G70 60J05 60J25 PDFBibTeX XMLCite \textit{C. Dombry} and \textit{F. Eyi-Minko}, Stochastic Processes Appl. 124, No. 6, 2266--2279 (2014; Zbl 1312.60067) Full Text: DOI arXiv
Resnick, Sidney I.; Zeber, David Clustering of Markov chain exceedances. (English) Zbl 1284.60106 Bernoulli 19, No. 4, 1419-1448 (2013). Reviewer: Wiesław Dziubdziela (Miedziana Gora) MSC: 60G70 60J05 PDFBibTeX XMLCite \textit{S. I. Resnick} and \textit{D. Zeber}, Bernoulli 19, No. 4, 1419--1448 (2013; Zbl 1284.60106) Full Text: DOI arXiv Euclid
Naess, A.; Gaidai, O.; Karpa, O. Estimation of extreme values by the average conditional exceedance rate method. (English) Zbl 1273.62109 J. Probab. Stat. 2013, Article ID 797014, 15 p. (2013). MSC: 62G32 62M10 PDFBibTeX XMLCite \textit{A. Naess} et al., J. Probab. Stat. 2013, Article ID 797014, 15 p. (2013; Zbl 1273.62109) Full Text: DOI OA License
Resnick, Sidney I.; Zeber, David Asymptotics of Markov kernels and the tail chain. (English) Zbl 1270.60061 Adv. Appl. Probab. 45, No. 1, 186-213 (2013). Reviewer: Wiesław Dziubdziela (Miedziana Gora) MSC: 60G70 60J05 62P05 PDFBibTeX XMLCite \textit{S. I. Resnick} and \textit{D. Zeber}, Adv. Appl. Probab. 45, No. 1, 186--213 (2013; Zbl 1270.60061) Full Text: DOI arXiv Euclid
Laurini, Fabrizio; Tawn, Jonathan A. The extremal index for GARCH(1,1) processes. (English) Zbl 1329.60154 Extremes 15, No. 4, 511-529 (2012). MSC: 60G70 62G32 62M10 62G20 91G70 PDFBibTeX XMLCite \textit{F. Laurini} and \textit{J. A. Tawn}, Extremes 15, No. 4, 511--529 (2012; Zbl 1329.60154) Full Text: DOI
Basrak, Bojan; Krizmanić, Danijel; Segers, Johan A functional limit theorem for dependent sequences with infinite variance stable limits. (English) Zbl 1295.60041 Ann. Probab. 40, No. 5, 2008-2033 (2012). Reviewer: Nikolai N. Leonenko (Cardiff) MSC: 60F17 60G52 60G55 60G70 60E05 60E07 PDFBibTeX XMLCite \textit{B. Basrak} et al., Ann. Probab. 40, No. 5, 2008--2033 (2012; Zbl 1295.60041) Full Text: DOI arXiv Euclid
Hill, Jonathan B. Tail and nontail memory with applications to extreme value and robust statistics. (English) Zbl 1401.62156 Econom. Theory 27, No. 4, 844-884 (2011). MSC: 62M10 60F05 60G10 60G70 62G32 62G35 62P05 PDFBibTeX XMLCite \textit{J. B. Hill}, Econom. Theory 27, No. 4, 844--884 (2011; Zbl 1401.62156) Full Text: DOI
Süveges, Mária; Davison, Anthony C. Model misspecification in peaks over threshold analysis. (English) Zbl 1189.62086 Ann. Appl. Stat. 4, No. 1, 203-221 (2010). MSC: 62G32 62M99 65C60 62P12 62E20 PDFBibTeX XMLCite \textit{M. Süveges} and \textit{A. C. Davison}, Ann. Appl. Stat. 4, No. 1, 203--221 (2010; Zbl 1189.62086) Full Text: DOI arXiv
Basrak, Bojan; Segers, Johan Regularly varying multivariate time series. (English) Zbl 1161.60319 Stochastic Processes Appl. 119, No. 4, 1055-1080 (2009); erratum ibid. 121, No. 4, 896-898 (2011). MSC: 60G70 60F05 60G10 60G55 PDFBibTeX XMLCite \textit{B. Basrak} and \textit{J. Segers}, Stochastic Processes Appl. 119, No. 4, 1055--1080 (2009; Zbl 1161.60319) Full Text: DOI arXiv
Elek, Péter; Zempléni, András Modelling extremes of time-dependent data by Markov-switching structures. (English) Zbl 1159.62056 J. Stat. Plann. Inference 139, No. 6, 1953-1967 (2009). MSC: 62M10 62M05 62P12 62G32 65C60 PDFBibTeX XMLCite \textit{P. Elek} and \textit{A. Zempléni}, J. Stat. Plann. Inference 139, No. 6, 1953--1967 (2009; Zbl 1159.62056) Full Text: DOI
Fawcett, Lee; Walshaw, David Bayesian inference for clustered extremes. (English) Zbl 1157.62028 Extremes 11, No. 3, 217-233 (2008). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62G32 62F15 65C60 PDFBibTeX XMLCite \textit{L. Fawcett} and \textit{D. Walshaw}, Extremes 11, No. 3, 217--233 (2008; Zbl 1157.62028) Full Text: DOI
Elek, Péter; Zempléni, András Tail behaviour and extremes of two-state Markov-switching autoregressive models. (English) Zbl 1142.62351 Comput. Math. Appl. 55, No. 12, 2839-2855 (2008). MSC: 62G32 62M10 62P12 PDFBibTeX XMLCite \textit{P. Elek} and \textit{A. Zempléni}, Comput. Math. Appl. 55, No. 12, 2839--2855 (2008; Zbl 1142.62351) Full Text: DOI
Süveges, Mária Likelihood estimation of the extremal index. (English) Zbl 1150.62368 Extremes 10, No. 1-2, 41-55 (2007). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62G32 65C60 62P12 PDFBibTeX XMLCite \textit{M. Süveges}, Extremes 10, No. 1--2, 41--55 (2007; Zbl 1150.62368) Full Text: DOI Link
Roberts, Gareth O.; Rosenthal, Jeffrey S.; Segers, Johan; Sousa, Bruno Extremal indices, geometric ergodicity of Markov chains and MCMC. (English) Zbl 1142.65011 Extremes 9, No. 3-4, 213-229 (2006); erratum ibid. 13, No. 3, 373-374 (2010). Reviewer: R. E. Maiboroda (Kyïv) MSC: 65C40 60G70 60J22 65C05 PDFBibTeX XMLCite \textit{G. O. Roberts} et al., Extremes 9, No. 3--4, 213--229 (2006; Zbl 1142.65011) Full Text: DOI
Fawcett, Lee; Walshaw, David A hierarchical model for extreme wind speeds. (English) Zbl 1109.62115 J. R. Stat. Soc., Ser. C, Appl. Stat. 55, No. 5, 631-646 (2006). MSC: 62P12 62G32 62F15 86A10 PDFBibTeX XMLCite \textit{L. Fawcett} and \textit{D. Walshaw}, J. R. Stat. Soc., Ser. C, Appl. Stat. 55, No. 5, 631--646 (2006; Zbl 1109.62115) Full Text: DOI
Segers, Johan Approximate distributions of clusters of extremes. (English) Zbl 1095.62063 Stat. Probab. Lett. 74, No. 4, 330-336 (2005). Reviewer: Wiesław Dziubdziela (Kielce) MSC: 62G32 60G70 PDFBibTeX XMLCite \textit{J. Segers}, Stat. Probab. Lett. 74, No. 4, 330--336 (2005; Zbl 1095.62063) Full Text: DOI Link
Sisson, Scott; Coles, Stuart Modelling dependence uncertainty in the extremes of Markov chain. (English) Zbl 1088.60052 Extremes 6, No. 4, 283-300 (2003). Reviewer: R. E. Maiboroda (Kyïv) MSC: 60G70 60J27 62F15 PDFBibTeX XMLCite \textit{S. Sisson} and \textit{S. Coles}, Extremes 6, No. 4, 283--300 (2003; Zbl 1088.60052) Full Text: DOI
Segers, Johan Functionals of clusters of extremes. (English) Zbl 1043.60043 Adv. Appl. Probab. 35, No. 4, 1028-1045 (2003). Reviewer: Wiesław Dziubdziela (Kielce) MSC: 60G70 62G32 PDFBibTeX XMLCite \textit{J. Segers}, Adv. Appl. Probab. 35, No. 4, 1028--1045 (2003; Zbl 1043.60043) Full Text: DOI Link
Hsing, Tailen; Hüsler, Jürg; Reiss, Rolf-Dieter The extremes of a triangular array of normal random variables. (English) Zbl 0855.60019 Ann. Appl. Probab. 6, No. 2, 671-686 (1996). MSC: 60F05 60G10 60G15 PDFBibTeX XMLCite \textit{T. Hsing} et al., Ann. Appl. Probab. 6, No. 2, 671--686 (1996; Zbl 0855.60019) Full Text: DOI
Hooghiemstra, G.; Meester, L. E. Computing the extremal index of special Markov chains and queues. (English) Zbl 0889.60055 Stochastic Processes Appl. 65, No. 2, 171-185 (1996). Reviewer: P.Lachout (Praha) MSC: 60G70 60K25 60F99 PDFBibTeX XMLCite \textit{G. Hooghiemstra} and \textit{L. E. Meester}, Stochastic Processes Appl. 65, No. 2, 171--185 (1996; Zbl 0889.60055) Full Text: DOI
Haiman, George; Kiki, Maxime; Puri, Madan L. Extremes of Markov sequences. (English) Zbl 0826.60040 J. Stat. Plann. Inference 45, No. 1-2, 185-201 (1995). Reviewer: J.Galambos (Philadelphia) MSC: 60G70 60J10 PDFBibTeX XMLCite \textit{G. Haiman} et al., J. Stat. Plann. Inference 45, No. 1--2, 185--201 (1995; Zbl 0826.60040) Full Text: DOI