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- W2476022354 abstract "This chapter reviews some of the more emblematic results of classical extreme value theory (EVT). It discusses some conditions to obtain EVL in the dependent case for stationary stochastic processes. The chapter introduces the concept of clustering and further developments concerning the dependence conditions needed to recover the existence of EVL in the presence of clustering. The chapter discusses the extremal index (EI) and how it affects the statistical inference. A more sophisticated way of studying rare events consists in studying rare events point processes (REPP). These point processes keep record of the exceedances of the high thresholds un by counting the number of such exceedances on a rescaled time interval. Declustering methods are associated with corresponding estimators for the EI. The two main classical procedures to identify clusters are the so-called blocks declustering and runs declustering." @default.
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- W2476022354 date "2016-03-21" @default.
- W2476022354 modified "2023-09-23" @default.
- W2476022354 title "Classical Extreme Value Theory" @default.
- W2476022354 doi "https://doi.org/10.1002/9781118632321.ch3" @default.
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