Extremal behaviour of stationary processes: the calibration technique in the extremal index estimation
D. Prata Gomes, Maria Manuela Neves (2010)
Discussiones Mathematicae Probability and Statistics
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Classical extreme value methods were derived when the underlying process is assumed to be a sequence of independent random variables. However when observations are taken along the time and/or the space the independence is an unrealistic assumption. A parameter that arises in this situation, characterizing the degree of local dependence in the extremes of a stationary series, is the extremal index, θ. In several areas such as hydrology, telecommunications, finance and environment, for...