Estimating the extremal index through the tail dependence concept
Marta Ferreira (2015)
Discussiones Mathematicae Probability and Statistics
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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...