Publication
Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long- and short-range dependence of extremes may both appear. In applications, an assumption of long-range independence often seems reasonable, but short-range dependence, i.e., the clustering of extremes, needs attention. The extremal index $0
Thomas Mountford, Kamran Kalbasi
Michaël Unser, Julien René Pierre Fageot, John Paul Ward