New Estimators for the Extremal Index and Other Cluster Characteristics

By F. Laurini, Jonathan A. Tawn. 2003

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A sliding blocks estimator for the extremal index (2008, unknown): “Some references on estimation of the extremal index using these three approaches are Hsing [8], Hsing [9], Smith and Weissman [18], Weissman and Novak [20], Ferro and Segers [6], Laurini and Tawn [11] and Robert [17] among others.”
An efficient semiparametric maxima estimator of the extremal index (2015, background): “Recent advances in the estimation of θ (Ferro and Segers, 2003; Süveges, 2007; Süveges and Davison, 2010; Laurini and Tawn, 2003; Robert, 2013) have concentrated on threshold methods, based on exceedences of a threshold.”
Semi-parametric and Parametric Inference of Extreme Value Models for Rainfall Data (2010, methodology): “Laurini and Tawn (2003) introduced a method known as the two-threshold approach whereby the extreme value index is represented by the number of independent clusters observed in the sample data.”
Modelling Time Series Extremes (2012, background): “Laurini & Tawn (2003) suggest a two-thresholds approach, according to which a cluster starts with an exceedance of a higher threshold and ends either when the process drops below a lower threshold before another such exceedance, or after a sufficiently long period below the higher threshold.”