Laurini, Fabrizio - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1225-1225
Several methods have been proposed for identifying clusters of extreme values leading to estimators of the extremal index; the latter represents,in the limit, the mean-size of each cluster of thresholds exceedances. The detection of clusters of extremes is relevant for the class of processes...
