Concepedia

Extremal Index

Extremal Index is a dimensionless parameter in extreme value theory that quantifies the degree of clustering of extreme events in a stationary sequence, distinguishing itself from other dependence measures by characterizing the reciprocal of the mean cluster size of exceedances over a high threshold.

328

Publications

12.9K

Citations

527

Authors

322

Institutions

Publications per year

2017–2026

80

Parents

Publications

328

The multiple discrete-continuous extreme value (MDCEV) model: Role of utility function parameters, identification considerations, and model extensions

Chandra R. Bhat · Transportation Research Part B Methodological · 2007 · 484 citations · Full text

, , +12

Inference for Clusters of Extreme Values

Christopher A. T. Ferro, Johan Segers · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2003 · 450 citations

, , +11

Extremal length and functional completion

Bent Fuglede · Acta Mathematica · 1957 · 434 citations · Full text

, , +4

An Application of Extreme Value Theory for Measuring Financial Risk

Manfred Gilli, Evis Këllezi · Computational Economics · 2006 · 425 citations

, , +14

Estimating the Extremal Index

Richard L. Smith, Ishay Weissman · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1994 · 272 citations

, , +14

1–5 of 328

Authors

527

  1. SL
    Shuchao Li

    Central China Normal University, China

    11 publications · 309 citations

    11

    h-index

  2. JR
    Juan Rada

    Universidad de Antioquia, Colombia

    9 publications · 228 citations

    9

    h-index

  3. HD
    Hanyuan Deng

    Hunan Normal University, China

    9 publications · 367 citations

    9

    h-index

  4. İG
    İvan Gutman

    University of Kragujevac, Serbia

    8 publications · 322 citations

    8

    h-index

  5. MI
    M. Ivette Gomes

    University of Lisbon, Portugal

    8 publications · 190 citations

    8

    h-index

1–5 of 527

Institutions

322

  1. Central China Normal University

    Wuhan, China

    14 h-index

    23 publications

    662 citations

  2. University of Lisbon

    Lisbon, Portugal

    12 h-index

    24 publications

    616 citations

  3. Centre National de la Recherche Scientifique

    Paris, France

    11 h-index

    19 publications

    721 citations

  4. South China Normal University

    Guangzhou, China

    10 h-index

    15 publications

    665 citations

  5. Universidade do Porto

    Porto, Portugal

    8 h-index

    14 publications

    721 citations

  6. University of Kragujevac

    Kragujevac, Serbia

    8 h-index

    14 publications

    614 citations

  7. Hunan Normal University

    Changsha, China

    8 h-index

    22 publications

    987 citations

  8. Universidad de Antioquia

    Medellín, Colombia

    8 h-index

    15 publications

    405 citations

1–8 of 322

Venues

  1. Discrete Applied Mathematics

    23 publications · 723 citations

    17

    h-index

  2. Extremes

    15 publications · 481 citations

    12

    h-index

  3. Journal of Applied Probability

    JAP · 12 publications · 395 citations

    11

    h-index

  4. Applied Mathematics and Computation

    11 publications · 345 citations

    11

    h-index

  5. arXiv (Cornell University)

    Repository · 8 publications · 130 citations

    8

    h-index

1–5