Estimating the extremal index through the tail dependence concept

Marta Ferreira

Discussiones Mathematicae Probability and Statistics (2015)

  • Volume: 35, Issue: 1-2, page 61-74
  • ISSN: 1509-9423

Abstract

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The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.

How to cite

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Marta Ferreira. "Estimating the extremal index through the tail dependence concept." Discussiones Mathematicae Probability and Statistics 35.1-2 (2015): 61-74. <http://eudml.org/doc/276467>.

@article{MartaFerreira2015,
abstract = {The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.},
author = {Marta Ferreira},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {extreme value theory; extremal index; tail dependence coefficient},
language = {eng},
number = {1-2},
pages = {61-74},
title = {Estimating the extremal index through the tail dependence concept},
url = {http://eudml.org/doc/276467},
volume = {35},
year = {2015},
}

TY - JOUR
AU - Marta Ferreira
TI - Estimating the extremal index through the tail dependence concept
JO - Discussiones Mathematicae Probability and Statistics
PY - 2015
VL - 35
IS - 1-2
SP - 61
EP - 74
AB - The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.
LA - eng
KW - extreme value theory; extremal index; tail dependence coefficient
UR - http://eudml.org/doc/276467
ER -

References

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