IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v74y2005i4p330-336.html
   My bibliography  Save this article

Approximate distributions of clusters of extremes

Author

Listed:
  • Segers, Johan

Abstract

In a stationary sequence of random variables, high-threshold exceedances may cluster together. Two approximations of such a cluster's distribution are established. These justify and generalize sampling schemes for clusters of extremes already known for Markov chains.

Suggested Citation

  • Segers, Johan, 2005. "Approximate distributions of clusters of extremes," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 330-336, October.
    • Handle: RePEc:eee:stapro:v:74:y:2005:i:4:p:330-336
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00192-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Segers, J.J.J., 2003. "Functionals of Clusters of Extremes," Other publications TiSEM 948d700b-a923-4068-b4ad-3, Tilburg University, School of Economics and Management.
    2. Hsing, Tailen, 1991. "Estimating the parameters of rare events," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 117-139, February.
    3. Segers, J.J.J., 2003. "Functionals of Clusters of Extremes," Discussion Paper 2003-48, Tilburg University, Center for Economic Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Basrak, Bojan & Segers, Johan, 2009. "Regularly varying multivariate time series," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1055-1080, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Segers, J.J.J., 2003. "Approximate Distributions of Clusters of Extremes," Other publications TiSEM 443e619d-453d-4a3c-b2f3-5, Tilburg University, School of Economics and Management.
    2. Segers, J.J.J., 2003. "Approximate Distributions of Clusters of Extremes," Discussion Paper 2003-91, Tilburg University, Center for Economic Research.
    3. Hugo C. Winter & Jonathan A. Tawn, 2016. "Modelling heatwaves in central France: a case-study in extremal dependence," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(3), pages 345-365, April.
    4. Robert, C.Y., 2010. "On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring," Statistics & Probability Letters, Elsevier, vol. 80(2), pages 134-142, January.
    5. José G. Gómez-García & Christophe Chesneau, 2021. "A Dependent Lindeberg Central Limit Theorem for Cluster Functionals on Stationary Random Fields," Mathematics, MDPI, vol. 9(3), pages 1-14, January.
    6. Olmo, José, 2005. "Testing the existence of clustering in the extreme values," UC3M Working papers. Economics we051809, Universidad Carlos III de Madrid. Departamento de Economía.
    7. A. P. Martins & J. R. Sebastião, 2019. "Methods for estimating the upcrossings index: improvements and comparison," Statistical Papers, Springer, vol. 60(4), pages 1317-1347, August.
    8. J. Sebastião & A. Martins & H. Ferreira & L. Pereira, 2013. "Estimating the upcrossings index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 549-579, November.
    9. Olmo, J., 2006. "A new family of estimators for the extremal index," Working Papers 06/01, Department of Economics, City University London.
    10. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
    11. F. Laurini & J. A. Tawn, 2006. "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers 2006-SE01, Department of Economics, Parma University (Italy).
    12. Będowska-Sójka, Barbara & Echaust, Krzysztof & Just, Małgorzata, 2022. "The asymmetry of the Amihud illiquidity measure on the European markets: The evidence from Extreme Value Theory," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    13. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
    14. Bücher, Axel & Jennessen, Tobias, 2022. "Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 75-106.
    15. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December.
    16. Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.
    17. Jose Olmo, 2015. "A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index," Econometrics, MDPI, vol. 3(3), pages 1-21, August.
    18. John Galbraith & Serguei Zernov, 2009. "Extreme dependence in the NASDAQ and S&P 500 composite indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1019-1028.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:74:y:2005:i:4:p:330-336. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.