Extremal analysis of processes sampled at different frequencies

By Michael E. Robinson, Jonathan A. Tawn. 2000

73 citations recorded by the source corpus.

How researchers see this paper

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Modelling Time Series Extremes (2012, background): “Robinson & Tawn (2000) discuss how sampling a time series at different frequencies will affect the values of θ, and derive bounds on their relationships.”
Statistics of Extremes (2004, background): “Robinson and Tawn (2000) develop methods based on this approximation that enable inference for the distribution of Mn from data collected at the frequency of M ′ n.”
Spatial regression models for extreme precipitation in Belgium (2012, unknown): “The following estimator generally produces good estimates [Robinson and Tawn, 2000] q̂ ¼ nc nu ; ð27Þ where nu is the number of exceedances of the threshold u, and nc is the number of clusters above u.”
Estimating value-at-risk: a point process approach (2005, background): “A recent contribution to this topic is by Ferro and Segers (2003); further relevant literature includes Davison and Smith (1990), Robinson and Tawn (2000), Embrechts et al. (1999), and section 8.1 of Embrechts et al. (1997).”
100-Year Return Value Estimates for Ocean Wind Speed and Significant Wave Height from the ERA-40 Data (2005, background): “Still, the discrepancy between the estimates could probably be accounted for by estimating upper bounds of the estimates of the undersampled data as described by Robinson and Tawn (2000) .”