Gloria Buriticá

Gloria Buriticá

I'm a woman scientist interested in risk assessment with applications to environmental sciences and econometrics.

Some variations of the extremal index

Published in Zap. Nauchn. Semin. POMI. Volume 501, Probability and Statistics, 2021

Recommended citation: G. Buriticá, N. Meyer, T. Mikosch, O. Wintenberger. (2021). Some variations of the extremal index. Zap. Nauchn. Semin. POMI. Volume 501, Probability and Statistics.* **30**, 52—77. To be translated in J.Math.Sci. (Springer). https://arxiv.org/abs/2106.05117

‘This paper is an overview on the extremal index for stationary time series. It provides a new interpretation in terms of α-clusters, where α is the tail-index of the series.’

[Download paper here]. (Check code here).

G. Buriticá, N. Meyer, T. Mikosch, O. Wintenberger. (2021). Some variations of the extremal index. Zap. Nauchn. Semin. POMI. Volume 501, Probability and Statistics.* 30, 52—77. To be translated in J.Math.Sci. (Springer).