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The extremal index in 10 seconds

Published online by Cambridge University Press:  14 July 2016

Gerard Hooghiemstra and
Ludolf E. Meester
Gerard Hooghiemstra
Affiliation:
Vakgroep SSOR Faculteit TWI Mekelweg 4 2628 CD Delft The Netherlands
Ludolf E. Meester
Affiliation:
Vakgroep SSOR Faculteit TWI Mekelweg 4 2628 CD Delft The Netherlands
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Abstract

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Information

Type
Letters to the Editor
Information
Journal of Applied Probability , Volume 34 , Issue 3 , September 1997, pp. 818 - 822
Copyright
Copyright © Applied Probability Trust 1997 

References

[1] Embrechts, P., Grübel, R. and Pitts, S. M. (1993) Some applications of the fast Fourier transform algorithm in insurance mathematics. Statist. Neerlandica 47, 59–75.CrossRefGoogle Scholar
[2] Grübel, R. (1991) Algorithm AS 265: G/G/1 via fast Fourier transform. Appl. Statist. 40, 355–365.Google Scholar
[3] Smith, R. L. (1992) The extremal index for a Markov chain. J. Appl. Prob. 29, 37–45.Google Scholar