# Estimating the extremal index through the tail dependence concept

Discussiones Mathematicae Probability and Statistics (2015)

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

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topMarta 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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