Likelihood estimation of the extremal index

By M. Suveges. 2007

138 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fd629a122860a5ffa4bdf95e3907b33fe5de52e5

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Citations in the corpus

A sliding blocks estimator for the extremal index (2008, unknown): “Figure 3 also shows results for the intervals estimator of Ferro and Segers [6] and the maximum-likelihood estimator of Süveges [19] both evaluated at thresholds defined by the default value of τ = 1.”
A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach (2018, background): “…“blocking” techniques (Northrop, 2015; Berghaus and Bücher, 2017), 2) POT-like estimators that rely on threshold exceedances (Ferro and Segers, 2003; Süveges, 2007), 3) estimators that use both principles simultaneously (Hsing, 1993; Robert, 2009; Robert, Segers and Ferro, 2009) and 4)…”
An efficient semiparametric maxima estimator of the extremal index (2015, methodology): “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.”
Estimating return levels from serially dependent extremes (2012, methodology): “Other methods have been proposed (e.g. Ancona-Navarrete and Tawn, 2000; Northrop, 2005; Süveges, 2007—the work in this paper simply serves to illustrate the use of all threshold excesses in return level estimation.”
Model misspecification in peaks over threshold analysis (2010, methodology): “Root mean squared error (top row) and relative bias (bottom row) of the K-gaps maximum likelihood (solid), the iterative least squares [Süveges (2007), dashed] and the intervals (dotted) estimators on the AR(1) process (left panels), on the AR(2) process (middle panels) and on the Markov chain (righ”
Modelling Time Series Extremes (2012, background): “The parameter θ can be estimated from the marginal inter-exceedance distribution in a variety of ways, of which the best seem to be due to Süveges (2007).”